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Practical Spreadsheet Risk Modeling for Management

Practical Spreadsheet Risk Modeling for Management by Dale Lehman
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Conceptual Maps and Models
Introductory Case: Mobile Phone Service
First Steps: Visualization
Retirement Planning Example
Good Practices with Spreadsheet Model Construction
Errors in Spreadsheet Modeling
Conclusion: Best Practices

Basic Monte Carlo Simulation in Spreadsheets

Introductory Case: Retirement Planning
Risk and Uncertainty
Scenario Manager
Monte Carlo Simulation
Monte Carlo Simulation Using ModelRisk
Monte Carlo Simulation for Retirement Planning
Discrete Event Simulation

Modeling with Objects

Introductory Case: An Insurance Problem
Frequency and Severity
Using Objects in the Insurance Model
Modeling Frequency/Severity without Using Objects
Modeling Deductibles
Using Objects without Simulation
Multiple Severity/Frequency Distributions
Uncertainty and Variability

Selecting Distributions

First Introductory Case: Valuation of a Public Company—Using Expert Opinion
Modeling Expert Opinion in the Valuation Model
Second Introductory Case: Value at Risk—Fitting
Distributions to Data
Distribution Fitting for VaR, Parameter Uncertainty, and Model Uncertainty
Commonly Used Discrete Distributions
Commonly Used Continuous Distributions
A Decision Guide for Selecting Distributions
Bayesian Estimation

Modeling Relationships

First Example: Drug Development
Second Example: Collateralized Debt Obligations
Multiple Correlations
Third Example: How Correlated Are Home Prices?—Copulas
Empirical Copulas
Fourth Example: Advertising Effectiveness
Regression Modeling
Simulation within Regression Models
Multiple Regression Models
The Envelope Method

Time Series Models

Introductory Case: September 11 and Air Travel
The Need for Time Series Analysis: A Tale of Two Series
Analyzing the Air Traffic Data
Second Example: Stock Prices
Types of Time Series Models
Third Example: Oil Prices
Fourth Example: Home Prices and Multivariate Time Series.
Markov Chains

Optimization and Decision Making

Introductory Case: Airline Seat Pricing
A Simulation Model of the Airline Pricing Problem
A Simulation Table to Explore Pricing Strategies
An Optimization Solution to the Airline Pricing Problem
Optimization with Simulation
Optimization with Multiple Decision Variables
Adding Requirements
Presenting Results for Decision Making
Stochastic Dominance

Appendix A: Monte Carlo Simulation Software

A Brief Tour of Four Monte Carlo Packages

CRC Press; September 2011
276 pages; ISBN 9781439855546
Read online, or download in secure PDF format
Title: Practical Spreadsheet Risk Modeling for Management
Author: Dale Lehman; Huybert Groenendaal; Greg Nolder
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