Mastering risk modelling: a practical guide to modelling uncertainty with Excel
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Harlow
FT Prentice Hall
2003
|
| Edition: | 1. ed. |
| Series: | Market editions
|
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIV, 399 S. Ill., graph. Darst. CD-ROM (12 cm) |
| ISBN: | 0273659782 9780273659785 |
Staff View
MARC
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| 100 | 1 | |a Day, Alastair L. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Mastering risk modelling |b a practical guide to modelling uncertainty with Excel |c Alastair L. Day |
| 250 | |a 1. ed. | ||
| 264 | 1 | |a Harlow |b FT Prentice Hall |c 2003 | |
| 300 | |a XIV, 399 S. |b Ill., graph. Darst. |e CD-ROM (12 cm) | ||
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Record in the Search Index
| _version_ | 1804140631160782848 |
|---|---|
| adam_text | Contents
Conventions xii
Overview xiii
1 Introduction l
Scope of the book 3
Example model 6
Objectives of risk modelling 6
Summary 10
2 Review of model design n
Introduction 13
Design objectives 13
Common errors 15
Excel features 18
Formats 20
Number formats 21
Lines and borders 23
Colour and patterns 25
Specific colour for inputs and results 25
Data validation 26
Controls - combo boxes and buttons 29
Conditional formatting 36
Use of functions and types of functions 37
Add-ins for more functions 39
Text and updated labels 40
Recording a version number, author, etc. 42
Using names 42
Pasting a names table 44
Comment cells 44
Graphics 46
Dynamic graphs to plot individual series 48
Data tables 50
Scenarios 53
Spreadsheet auditing 55
Summary 1
3 Risk and uncertainty 63
Introduction 65
Risk 65
Uncertainty 72
Response to risk 73
Methods 74
Summary ^
4 Project finance 81
Introduction °3
Requirements °*
Advantages °^
Risks 85
Risk analysis ¦*
Risk mitigation 91
Financial model ^ ¦
Inputs 95
Sensitivity and cost of capital ^
Construction, borrowing and output 102
Accounting schedules I -5
Management analysis and summaries ^9
Summary 11 °
5 Simulation H9
Introduction 121
Building blocks 122
Procedure 128
Real estate example 133
Summary 139
6 Financial analysis *4i
Introduction 143
Process 145
Environment 145
Industry 147
Financial statements 148
Profit and loss 150
Balance sheet 152
Operating efficiency 153
Profitability 156
Contents
Financial structure 157
Core ratios 158
Market ratios 160
Trend analysis 161
Cash flow 162
Forecasts 167
Financial analysis 177
Summary 181
7 Credit risk 183
Cashflow 186
Cover ratios 186
Sustainability 190
Beaver s model 194
Bathory model 195
Z scores 195
Springate analysis 199
Logit analysis 200
H-Factor model 202
Ratings agency 203
Summary 207
References 207
8 Valuation 209
Introduction 211
Inputs 212
Cashflow 215
Capital structure 217
Valuation and returns 220
Sensitivity analysis 221
Management summary 225
Summary 227
9 Bonds 229
Introduction 231
Bond prices 231
Interest rates 234
Yield 236
Duration and maturity 238
Convexity 244
Comparison 247
Summary 249
Ilia
10 Options 251
Introduction 253
Options 254
Options example 257
Options hedging strategy zt)U
Black-Scholes 268
Simulation options pricing 273
Binomial model 27/
Summary
11 Real options 283
Introduction Z0J
Project 287
Option to delay 289
Option to abandon ^
Option to expand ^
c 299
Summary y
12 Equities 301
Introduction J
Historic data 305
Returns summary •*
Simulation 5l i
Portfolio 3l4
Summary ^
References ^22
13 Risk adjusted returns 323
Introduction 32^
Economic capital 325
Risk-adjusted return on capital (RAROC) 329
Summary 335
14 Value at risk 337
Introduction 339
Single asset model 340
Two assets 345
Three asset portfolio 350
Summary 354
Contents
15 Credit value at risk 355
Introduction 357
Portfolio approach 358
Overview of components 360
Single asset 361
Two-bond portfolio 369
Simulation 375
Summary 383
Appendix: software installation and licence 385
Index 391
|
| any_adam_object | 1 |
| author | Day, Alastair L. |
| author_facet | Day, Alastair L. |
| author_role | aut |
| author_sort | Day, Alastair L. |
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| building | Verbundindex |
| bvnumber | BV024613436 |
| ctrlnum | (OCoLC)611705267 (DE-599)BVBBV024613436 |
| dewey-full | 658.15502855369 |
| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 658 - General management |
| dewey-raw | 658.15502855369 |
| dewey-search | 658.15502855369 |
| dewey-sort | 3658.15502855369 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Wirtschaftswissenschaften |
| edition | 1. ed. |
| format | Book |
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| id | DE-604.BV024613436 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:03:03Z |
| institution | BVB |
| isbn | 0273659782 9780273659785 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-018585967 |
| oclc_num | 611705267 |
| open_access_boolean | |
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| owner_facet | DE-83 |
| physical | XIV, 399 S. Ill., graph. Darst. CD-ROM (12 cm) |
| publishDate | 2003 |
| publishDateSearch | 2003 |
| publishDateSort | 2003 |
| publisher | FT Prentice Hall |
| record_format | marc |
| series2 | Market editions |
| spelling | Day, Alastair L. Verfasser aut Mastering risk modelling a practical guide to modelling uncertainty with Excel Alastair L. Day 1. ed. Harlow FT Prentice Hall 2003 XIV, 399 S. Ill., graph. Darst. CD-ROM (12 cm) txt rdacontent n rdamedia nc rdacarrier Market editions HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018585967&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Day, Alastair L. Mastering risk modelling a practical guide to modelling uncertainty with Excel |
| title | Mastering risk modelling a practical guide to modelling uncertainty with Excel |
| title_auth | Mastering risk modelling a practical guide to modelling uncertainty with Excel |
| title_exact_search | Mastering risk modelling a practical guide to modelling uncertainty with Excel |
| title_full | Mastering risk modelling a practical guide to modelling uncertainty with Excel Alastair L. Day |
| title_fullStr | Mastering risk modelling a practical guide to modelling uncertainty with Excel Alastair L. Day |
| title_full_unstemmed | Mastering risk modelling a practical guide to modelling uncertainty with Excel Alastair L. Day |
| title_short | Mastering risk modelling |
| title_sort | mastering risk modelling a practical guide to modelling uncertainty with excel |
| title_sub | a practical guide to modelling uncertainty with Excel |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018585967&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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