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INTEGRATED RISK ANALYSIS - Modeling Toolkit

www.21jrr.com发布时间:2010-03-03 15:57文章来源:未知投稿给我们

Real Options Valuation, Inc. is proud to present its latest innovation, the Modeling Toolkit (Premium
Edition). This toolkit comprises over 800 analytical models, functions and tools, and about 300 analytical
model Excel/SLS templates and example spreadsheets covering the areas of risk analysis, simulation,
forecasting, Basel II risk analysis, credit and default risk, statistical models, and much more! This toolkit is a
set of mathematically sophisticated models written in C++ and linked into Excel spreadsheets. There are
over 1100 models, functions, with spreadsheet and SLS templates in this toolkit and the analytical areas
covered include:
Analytics
1. Central Limit Theorem
2. Central Limit Theorem (Lottery Analysis)
3. Flaw of Averages
4. Mathematical Integration
5. Parametric and Nonparametric Hypothesis Tests Dataset
6. Projectile Motion
7. Regression Diagnostics
8. Ships in the Night
9. Statistical Analysis
10. Weighting of Ratios
Banking Models
11. Audit of Construction Lending
12. Banker's Construction Budget
13. Classified Breakeven Loan Inventory
14. Classified Loan Borrowing Base
15. Classified Loan Cash Budget and Overdraft Facilities
16. Federal Reserve Camels Rating System
17. Firm in Financial Distress
18. Project Finance Risk Rating Model
19. Queuing Models
20. Reconciling Enron’s Cash Flow
21. Risk Rating Model
22. Sample Cash Flows
23. Sensitivity Projections
24. Stochastic Loan Pricing Model
25. Valuation and Appraisal
3
Credit Analysis
26. Credit Default Swaps and Credit Spread Options
27. Credit Default Swaps (with Counterparty Defaults and Correlations)
28. Credit Premium
29. Credit Risk and Effects on Prices
30. External Debt Rating and Spreads
31. Internal Credit Risk Rating Model
32. Profit Cost Analysis of New Credit
Debt Analysis
33. Asset Equity Parity Model
34. Cox Model on Price and Yield of Risky Debt with Mean Reverting Rates
35. Debt Repayment and Amortization
36. Debt Sensitivity Models
37. Merton Price of Risky Debt with Stochastic Asset and Interest
38. Vasicek Debt Option Valuation
39. Vasicek Price and Yield of Risky Debt
Decision Analysis
40. Decision Tree Basics
41. Decision Tree with EVPI, Minimax and Bayes Theorem
42. Economic Order Quantity and Inventory Reorder Point
43. Economic Order Quantity and Optimal Manufacturing
44. Expected Utility Analysis
45. Inventory Control
46. Queuing Models
Exotic Options
47. American, Bermudan and European Options
48. Asian Arithmetic
49. Asian Geometric
50. Asset or Nothing
51. Barrier Options
52. Binary Digital Options
53. Cash or Nothing
54. Commodity Options
55. Complex Chooser
56. Credit Spread Options
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57. Currency Options
58. Double Barriers
59. Exchange Assets
60. Extreme Spread
61. Foreign Equity Linked Forex
62. Foreign Equity Domestic Currency
63. Foreign Equity Fixed Forex
64. Foreign Takeover Options
65. Forward Start
66. Futures and Forward Options
67. Gap Options
68. Graduated Barriers
69. Index Options
70. Inverse Gamma Out-of-the-money Options
71. Jump Diffusion
72. Leptokurtic and Skewed Options
73. Lookback Fixed Strike Partial Time
74. Lookback Fixed Strike
75. Lookback Floating Strike Partial Time
76. Lookback Floating Strike
77. Min and Max of Two Assets
78. Option Collar
79. Options on Options
80. Perpetual Options
81. Simple Chooser
82. Spread on Futures
83. Supershares
84. Time Switch
85. Trading Day Corrections
86. Two Assets Barrier
87. Two Assets Cash
88. Two Assets Correlated
89. Uneven Dividends
90. Writer Extendible
Forecasting
91. Brownian Motion Stochastic Process
92. Data Diagnostics
93. Econometric, Correlations and Multiple Regression Modeling
94. Exponential J-Growth Curves
95. Forecasting Manual Computations
5
96. Jump-Diffusion Stochastic Process
97. Linear Interpolation
98. Logistic S-Growth Curves
99. Markov Chains and Market Share
100. Mean-Reverting Stochastic Process
101. Multiple Regression
102. Nonlinear Extrapolation
103. Stochastic Processes and Yield Curves
104. Stock Distribution at Horizon
105. Time-Series Analysis
106. Time-Series ARIMA
Industry Applications
107. Asset Liability Management ALM
108. Biotech – Manufacturing Strategy
109. Biotech – In-licensing and Deal Structuring
110. Biotech – Investment Valuation
111. Electric Utility – Efficient Frontier Generation
112. Electric Utility – Electricity Contract Risk
113. Information Technology – Forecasting Use
114. Information Technology – Decision Analysis
115. Pensions – Closed Group Portfolio Matching
116. Pensions – Accounting Modeling and Optimization
117. Real Estate – Commercial ROI
Optimization
118. Capital Investments (Part A)
119. Capital Investments (Part B)
120. Continuous Portfolio Allocation
121. Discrete Project Selection
122. Inventory Optimization
123. Investment Portfolio Allocation
124. Military Portfolio and Efficient Frontier
125. Optimal Pricing with Elasticity
126. Optimization of a Harvest Model
127. Optimizing Ordinary Least Squares
128. Stochastic Portfolio Allocation
6
Options Analysis
129. Binary Digital Instruments
130. Inverse Floater Bond Lattice Maker
131. Options Adjusted Spreads on Debt
132. Options on Debt
133. Options Trading Strategies
Probability of Default
134. Empirical (Individuals)
135. External Options Model (Public Company)
136. Merton Internal Model (Private Company)
137. Merton Market Options Model (Industry Comparable)
138. Yields and Spreads (Market Comparable)
Project Management
139. Cost Estimation Model
140. Critical Path Analysis (CPM PERT GANTT)
141. Project Timing
Real Options SLS
142. Employee Stock Options - Simple American Call
143. Employee Stock Options - Simple Bermudan Call with Vesting
144. Employee Stock Options - Simple European Call
145. Employee Stock Options - Suboptimal Exercise
146. Employee Stock Options - Vesting and Suboptimal Exercise
147. Employee Stock Options - Vesting, Blackout, Suboptimal, Forfeiture
148. Exotic Options - American Call Option with Dividends
149. Exotic Options - Accruals on Basket of Assets
150. Exotic Options - American Call Option on Foreign Exchange
151. Exotic Options - American Call Option on Index Futures
152. Exotic Options - Barrier Option - Down and In Lower Barrier
153. Exotic Options - Barrier Option - Down and Out Lower Barrier
154. Exotic Options - Barrier Option - Up and In Upper Barrier Call
155. Exotic Options - Barrier Option - Up and In, Down and In Double Barrier Call
156. Exotic Options - Barrier Option - Up and Out Upper Barrier Call
157. Exotic Options - Barrier Option - Up and Out, Down and Out Double Barrier Call
158. Exotic Options - Basic American, European, versus Bermudan Call Options
159. Exotic Options - Chooser Option
160. Exotic Options - Equity Linked Notes
161. Exotic Options - European Call Option with Dividends
162. Exotic Options - Range Accruals
7
163. Options Analysis - Plain Vanilla Call Option I
164. Options Analysis - Plain Vanilla Call Option II
165. Options Analysis - Plain Vanilla Call Option III
166. Options Analysis - Plain Vanilla Call Option IV
167. Options Analysis - Plain Vanilla Put Option
168. Real Options - Abandonment American Option
169. Real Options - Abandonment Bermudan Option
170. Real Options - Abandonment Customized Option
171. Real Options - Abandonment European Option
172. Real Options - Contraction American and European Option
173. Real Options - Contraction Bermudan Option
174. Real Options - Contraction Customized Option
175. Real Options - Dual-Asset Rainbow Option Pentanomial Lattice
176. Real Options – Excel-based Options Models
177. Real Options - Exotic Complex Floating American Chooser
178. Real Options - Exotic Complex Floating European Chooser
179. Real Options - Expand Contract Abandon American and European Option
180. Real Options - Expand Contract Abandon Bermudan Option
181. Real Options - Expand Contract Abandon Customized Option I
182. Real Options - Expand Contract Abandon Customized Option II
183. Real Options - Expansion American and European Option
184. Real Options - Expansion Bermudan Option
185. Real Options - Expansion Customized Option
186. Real Options - Jump Diffusion Calls and Puts using Quadranomial Lattices
187. Real Options - Mean Reverting Calls and Puts using Trinomial Lattices
188. Real Options - Multiple Asset Competing Options (3D Binomial)
189. Real Options - Multiple Phased Complex Sequential Compound Option
190. Real Options - Multiple Phased Sequential Compound Option
191. Real Options - Multiple Phased Simultaneous Compound Option
192. Real Options - Simple Calls and Puts using Trinomial Lattices
193. Real Options - Simple Two Phased Sequential Compound Option
194. Real Options - Simple Two Phased Simultaneous Compound Option
195. Real Options - Strategic Cases - High-Tech Manufacturing Strategy A
196. Real Options - Strategic Cases - High-Tech Manufacturing Strategy B
197. Real Options - Strategic Cases - High-Tech Manufacturing Strategy C
198. Real Options - Strategic Cases - Oil and Gas - Strategy A
199. Real Options - Strategic Cases - Oil and Gas - Strategy B
200. Real Options - Strategic Cases - R&D Stage-Gate Process A
201. Real Options - Strategic Cases - R&D Stage-Gate Process B
202. Real Options - Strategic Cases - Switching Option's Strategy A
203. Real Options - Strategic Cases - Switching Option's Strategy B
8
204. Trinomial Lattices - American Call Option
205. Trinomial Lattices - American Put Option
206. Trinomial Lattices - European Call Option
207. Trinomial Lattices - European Put Option
208. Trinomial Lattices - Mean Reverting American Call Option
209. Trinomial Lattices - Mean Reverting American Put Option
210. Trinomial Lattices - Mean Reverting European Call Option
211. Trinomial Lattices - Mean Reverting European Put Option
212. Trinomial Lattices - Mean Reverting American Abandonment Option
213. Trinomial Lattices - Mean Reverting American Contraction Option
214. Trinomial Lattices - Mean Reverting American Expansion Option
215. Trinomial Lattices - Mean Reverting American Abandonment, Contraction, Expansion
216. Trinomial Lattices - Mean Reverting Bermudan Abandonment, Contraction, Expansion
217. Trinomial Lattices - Mean Reverting Customized Abandonment, Contraction, Expansion
218. Trinomial Lattices - Mean Reverting European Abandonment, Contraction, Expansion
219. Quadranomial Lattices - Jump Diffusion American Call Option
220. Quadranomial Lattices - Jump Diffusion American Put Option
221. Quadranomial Lattices - Jump Diffusion European Call Option
222. Quadranomial Lattices - Jump Diffusion European Put Option
223. Pentanomial Lattices - American Rainbow Call Option
224. Pentanomial Lattices - American Rainbow Put Option
225. Pentanomial Lattices - Dual Reverse Strike American Call (3D Binomial)
226. Pentanomial Lattices - Dual Reverse Strike American Put (3D Binomial)
227. Pentanomial Lattices - Dual Strike American Call (3D Binomial)
228. Pentanomial Lattices - Dual Strike American Put (3D Binomial)
229. Pentanomial Lattices - European Rainbow Call Option
230. Pentanomial Lattices - European Rainbow Put Option
231. Pentanomial Lattices - Exchange of Two Assets American Put (3D Binomial)
232. Pentanomial Lattices - Maximum of Two Assets American Call (3D Binomial)
233. Pentanomial Lattices - Maximum of Two Assets American Put (3D Binomial)
234. Pentanomial Lattices - Minimum of Two Assets American Call (3D Binomial)
235. Pentanomial Lattices - Minimum of Two Assets American Put (3D Binomial)
236. Pentanomial Lattices - Portfolio American Call (3D Binomial)
237. Pentanomial Lattices - Portfolio American Put (3D Binomial)
238. Pentanomial Lattices - Spread of Two Assets American Call (3D Binomial)
239. Pentanomial Lattices - Spread of Two Assets American Put (3D Binomial)
9
Risk Analysis
240. Integrated Risk Analysis
241. Interest Rate Risk
242. Portfolio Risk and Return Profile
Risk Hedging
243. Delta Gamma Hedge
244. Delta Hedge
245. Effects of Fixed versus Floating Rates
246. Foreign Exchange Cash Flow Model
247. Foreign Exchange Exposure Hedging
Sensitivity
248. Greeks
249. Tornado and Sensitivity Charts Linear
250. Tornado and Sensitivity Nonlinear
Simulation
251. Basic Simulation Model
252. Best Surgical Team
253. Correlated Simulation
254. Correlation Effects Model
255. Data Fitting
256. DCF, ROI and Volatility
257. Debt Repayment and Amortization
258. Demand Curve and Elasticity Estimation
259. Infectious Diseases
260. Recruitment Budget (Negative Binomial and Multidimensional Simulation)
261. Retirement Funding with VBA Macros
262. Roulette Wheel
263. Time Value of Money
Six Sigma
264. Confidence Intervals with Hypothesis Testing
265. Control Charts (c, n, p, u, X, XmR, R)
266. Delta Precision
267. Design of Experiments and Combinatorics
268. Hypothesis Testing and Bootstrap Simulation
269. Sample Size Correlation
270. Sample Size DPU
271. Sample Size Mean
272. Sample Size Proportion
10
273. Sample Size Sigma
274. Statistical Analysis (CDF, PDF, ICDF) with Hypothesis Testing
275. Statistical Capability Measures
276. Unit Capability Measures
Valuation
277. APT, BETA and CAPM
278. Buy versus Lease
279. Caps and Floors
280. Convertible Bonds
281. Financial Ratios Analysis
282. Financial Statements Analysis
283. Valuation Model
284. Valuation - Warrant - Combined Value
285. Valuation - Warrant - Put Only
286. Valuation - Warrant - Warrant Only
Value at Risk
287. Optimized and Simulated Portfolio VaR
288. Options Delta Portfolio
289. Portfolio Operational and Capital Adequacy
290. Right Tail Capital Requirements
291. Static Covariance Method
Volatility
292. EWMA Volatility Models
293. GARCH Volatility Models
294. Implied Volatility
295. Log Asset Returns Approach
296. Log Cash Flow Returns Approach Probability to Volatility
Yield Curve
297. CIR Model
298. Curve Interpolation BIM
299. Curve Interpolation NS
300. Forward Rates from Spot Rates
301. Spline Interpolation and Extrapolation.xls
302. Term Structure of Volatility
303. US Treasury Risk Free Rate
304. Vasicek Model

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INTEGRATED RISK ANALYSIS - Modeling Toolkit

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