Modeling risk : applying Monte Carlo simulation, real options analysis, forecasting, and optimization techniques /
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| Author / Creator: | Mun, Johnathan. |
|---|---|
| Imprint: | Hoboken, NJ : John Wiley & Sons, c2006. |
| Description: | xvi, 605 p. : ill. ; 24 cm. + 1 CD-ROM (4 3/4in.) |
| Language: | English |
| Series: | Wiley finance series |
| Subject: | |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/6323618 |
Table of Contents:
- Introduction
- Part One. Risk Identification
- Chapter 1. Moving Beyond Uncertainty
- A Brief History of Risk: What Exactly Is Risk?
- Uncertainty versus Risk
- Why Is Risk Important in Making Decisions?
- Dealing with Risk the Old-Fashioned Way
- The Look and Feel of Risk and Uncertainty
- Integrated Risk Analysis Framework
- Questions
- Part Two. Risk Evaluation
- Chapter 2. From Risk to Riches
- Taming the Beast
- The Basics of Risk
- The Nature of Risk and Return
- The Statistics of Risk
- The Measurements of Risk
- Appendix-Computing Risk
- Questions
- Chapter 3. A Guide to Model-Building Etiquette
- Document the Model
- Separate Inputs, Calculations, and Results
- Protect the Models
- Make the Model User-Friendly: Data Validation and Alerts
- Track the Model
- Automate the Model with VBA
- Model Aesthetics and Conditional Formatting
- Appendix-A Primer on VBA Modeling and Writing Macros
- Exercises
- Part Three. Risk Quantification
- Chapter 4. On the Shores of Monaco
- What Is Monte Carlo Simulation?
- Why Are Simulations Important?
- Comparing Simulation with Traditional Analyses
- Using Risk Simulator and Excel to Perform Simulations
- Questions
- Chapter 5. Test Driving Risk Simulator
- Getting Started with Risk Simulator
- Running a Monte Carlo Simulation
- Using Forecast Charts and Confidence Intervals
- Correlations and Precision Control
- Appendix-Understanding Probability Distributions
- Questions
- Chapter 6. Pandora 's Toolbox
- Tornado and Sensitivity Tools in Simulation
- Sensitivity Analysis
- Distributional Fitting: Single Variable and Multiple Variables
- Bootstrap Simulation
- Hypothesis Testing
- Data Extraction, Saving Simulation Results, and Generating Reports
- Custom Macros
- Appendix-Goodness-of-Fit Tests
- Questions
- Part Four. Industry Applications
- Chapter 7. Extended Business
- Cases I. Pharmaceutical and Biotech Negotiations
- Oil and Gas Exploration
- Financial Planning with Simulation
- Hospital Risk Management
- Risk-Based Executive Compensation Valuation
- Case Study: Pharmaceutical and Biotech Deal Structuring
- Case Study: Oil and Gas Exploration and Production
- Case Study: Financial Planning with Simulation
- Case Study: Hospital Risk Management
- Case Study: Risk-Based Executive Compensation Valuation
- Part Five. Risk Prediction
- Chapter 8. Tomorrow's Forecast Today
- Different Types of Forecasting Techniques
- Running the Forecasting Tool in Risk Simulator
- Time-Series Analysis
- Multivariate Regression
- Stochastic Forecasting
- Nonlinear Extrapolation
- Box-Jenkins ARIMA Advanced Time-Series
- Questions
- Chapter 9. Using the Past to Predict the Future
- Time-Series Forecasting Methodology
- No Trend and No Seasonality
- With Trend but No Seasonality
- No Trend but with Seasonality
- With Seasonality and with Trend
- Regression Analysis
- The Pitfalls of Forecasting: Outliers
- Nonlinearity
- Multicollinearity
- Heteroskedasticity
- Autocorrelation
- Structural Breaks
- Other Technical Issues in Regression Analysis
- Appendix A. Forecast Intervals
- Appendix B. Ordinary Least Squares
- Appendix C. Detecting and Fixing Heteroskedasticity
- Appendix D. Detecting and Fixing Multicollinearity
- Appendix E. Detecting
