Keith Allman, Josh Laurito, Michael Loh – Financial Simulation Modeling in Excel

Description

“I’ve worked with simulation in business for over 20 years, and Allman really nails it with this book. I admit that I own his previous book on structured finance cash flows, but I was surprised by what I found in here. He addresses the fundamental questions of how decision makers react to simulations and his read was very much in accordance with what I’ve experienced myself. When it came to the nuts and bolts of describing the different types of simulation analysis the book becomes incredibly detailed. There is working code and models for a fantastic array of the most common simulation problems. If you’re so inclined, the book very carefully steps through the tricky math needed to really understand the theory behind stochastic modeling in finance. If you’re preparing models that include any kind of randomization or stochastic modeling component, this book is a must-read, a tremendous value and time-saver.” — David Brode of The Brode Group

A sensible information to understanding and implementing monetary simulation modeling

As simulation strategies turn into extra standard among the many monetary group and quite a lot of sub-industries, a radical understanding of idea and implementation is vital for practitioners concerned in portfolio administration, threat administration, pricing, and capital budgeting. Financial Simulation Modeling in Excel accommodates the knowledge it’s worthwhile to take advantage of knowledgeable choices attainable in your skilled endeavors.

Financial Simulation Modeling in Excel accommodates a sensible, hands-on method to studying complicated monetary simulation methodologies utilizing Excel and VBA as a medium. Crafted in a simple to grasp format, this e-book is appropriate for anybody with a primary understanding of finance and Excel. Filled with in-depth insights and professional recommendation, every chapter takes you thru the idea behind a simulation matter and the implementation of that very same matter in Excel/VBA in a step-by-step method.

• Organized in an easy-to-follow vogue, this information successfully walks you thru the method of making and implementing threat fashions in Excel
• A companion web site accommodates all of the Excel fashions threat consultants and quantitative analysts must apply and make sure their outcomes as they progress
• Keith Allman is the creator of different profitable modeling books, together withCorporate Valuation Modeling andModeling Structured Finance Cash Flows with Microsoft Excel

Created for these with some background in finance and expertise in Excel, this dependable useful resource exhibits you how you can successfully carry out sound monetary simulation modeling, even when you’ve but to do in depth modeling up so far in your skilled or tutorial profession.

Table of Contents

Preface vii

Acknowledgments xi

About the Authors xiii

CHAPTER 1 Introduction 1

CHAPTER 2 Random Numbers, Distributions, and Basic Simulation Setup 13

CHAPTER 3 Correlation 47

CHAPTER 4 Option Pricing 65

CHAPTER 5 Corporate Default Simulation 95

CHAPTER 6 Simulating Pools of Assets 127

CHAPTER 7 Dealing with Data Deficiencies and Other Issues 153

CHAPTER 8 Advanced Topics and Further Reading 169

APPENDIX A Partial Differential Equations 175

APPENDIX B Newton-Raphson Method 183

References 187

Index 189

Author Information

Keith A. Allman is an funding supervisor at Bamboo Finance, a personal fairness fund that invests in for-profit, commercially viable corporations that present an excellent or service that beneficially impacts the lives of low-income people. Previously, he was the director of analytics and modeling at Pearl Street Capital Group. Allman additionally based Enstruct, which providers purchasers worldwide in capital markets and fairness valuation, distressed valuation, and quantitative-based coaching. He is the creator of the Wiley titles Corporate Valuation Modeling, Modeling Structured Finance Cash Flows with Microsoft® Excel®, and Reverse Engineering Deals on Wall Street with Microsoft® Excel®. Allman holds bachelor levels from UCLA and a grasp’s diploma from Columbia University.

Josh Laurito, CFA, is a co-founder and Principal of Lumesis, a number one supplier of credit score evaluation software program and options to the municipal finance market. In addition, he directs company modeling for Hexagon Securities, a boutique service provider financial institution that advises and invests in banks and specialty finance corporations.

MichaelL Loh presently works for Tech-X Corporation the place he’s actively engaged in complicated knowledge administration and high-performance computing utilizing accelerated {hardware}. Prior to Tech-X, Loh developed and applied monetary fashions at RangeMark Financial Services