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El. knyga: Introduction to Financial Models for Management and Planning

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(University of Colorado, Denver, USA), (University of Colorado, Denver, USA)
  • Formatas: 667 pages
  • Išleidimo metai: 30-May-2017
  • Leidėjas: Chapman & Hall/CRC
  • ISBN-13: 9781498765046
Kitos knygos pagal šią temą:
Introduction to Financial Models for Management and PlanningDidesnis paveikslėlis
  • Formatas: 667 pages
  • Išleidimo metai: 30-May-2017
  • Leidėjas: Chapman & Hall/CRC
  • ISBN-13: 9781498765046
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A properly structured financial model can provide decision makers with a powerful planning tool that helps them identify the consequences of their decisions before they are put into practice. Introduction to Financial Models for Management and Planning, Second Edition enables professionals and students to learn how to develop and use computer-based models for financial planning. This volume provides critical tools for the financial toolbox, then shows how to use them tools to build successful models.
Preface to the Second Edition xxi
Authors xxix
Chapter 1 An Overview of Financial Planning and Modeling
1(30)
1.1 What Is Planning?
1(2)
1.2 What Is Financial Planning?
3(1)
1.3 The Input To Financial Planning
4(9)
1.3.1 The Goals of Financial Decisions
5(1)
1.3.2 The Decision Alternatives
6(1)
1.3.3 The Links between Decisions and Goals
6(1)
1.3.4 Resources and Constraints
7(3)
1.3.4.1 Company-Specific Resources and Constraints
8(1)
1.3.4.2 Industry-Specific Constraints
9(1)
1.3.4.3 Constraints Imposed by the Economy
10(1)
1.3.4.4 Constraints Imposed by the Legal and Political Environment
10(1)
1.3.5 The Planning Horizon and the Amount of Detail
10(3)
1.3.5.1 The Length of the Planning Horizon
10(1)
1.3.5.2 The Amount of Detail
11(2)
1.4 Ingredients Of A Financial Model
13(3)
1.4.1 What Is a Model?
13(3)
1.4.2 What Does a Model Do?
16(1)
1.5 How To Develop The Model
16(7)
1.5.1 The Decision Problem
16(1)
1.5.1.1 What Is the Problem?
16(1)
1.5.1.2 What Questions Must Be Answered?
17(1)
1.5.1.3 What Is the Time Horizon of the Problem?
17(1)
1.5.1.4 How Important Is the Problem?
17(1)
1.5.2 The Output
17(1)
1.5.2.1 What Kind of Information Is Needed?
17(1)
1.5.2.2 How Will the Information Be Evaluated?
18(1)
1.5.2.3 What Kind of Detail Is Necessary?
18(1)
1.5.2.4 Who Will Use the Information?
18(1)
1.5.3 The Structural Input
18(4)
1.5.3.1 What Is the Goal?
19(1)
1.5.3.2 What Are the Decision Alternatives?
19(1)
1.5.3.3 What Are the Linkages between the Decisions and the Goal?
20(1)
1.5.3.4 What Are the Constraints?
20(1)
1.5.3.5 What Is the Planning Horizon?
21(1)
1.5.4 The Data Input
22(1)
1.5.4.1 The Current State of the System
22(1)
1.5.4.2 Relations between Variables
22(1)
1.5.4.3 Forecasts of Future Conditions
23(1)
1.6 Types Of Models
23(3)
1.6.1 Simulation
23(2)
1.6.2 Optimization
25(1)
1.7 What Do We Get Out Of It?
26(1)
1.7.1 Explicit Benefits
26(1)
1.7.2 Implicit Benefits
27(1)
1.8 Summary
27(4)
Section I Tools for Financial Planning and Modeling: Financial Analysis
Chapter 2 The Tools for Financial Planning: Financial Analysis
31(34)
2.1 Introduction
31(1)
2.2 Financial Ratio Analysis
32(19)
2.2.1 Example: The Odd & Rich Corporation
33(9)
2.2.2 DuPont Analysis
42(9)
2.2.2.1 Pricing and Costs
46(1)
2.2.2.2 Asset Utilization
46(1)
2.2.2.3 Operating Cycle
47(2)
2.2.2.4 The Equity Multiplier and Financial Leverage
49(2)
2.3 Break-Even Analysis
51(4)
2.3.1 Fixed and Variable Costs
52(3)
2.4 Analysis Of Operating And Financial Leverage
55(4)
2.4.1 Degree of Operating Leverage
56(1)
2.4.2 Degree of Financial Leverage
57(1)
2.4.3 Degree of Combined Leverage
58(1)
2.5 Conclusion
59(6)
Chapter 3 The Tools for Financial Planning: Growth, Cash Flows, and Cash Budgeting
65(46)
3.1 Projecting Proforma Financial Statements
65(7)
3.2 Growth And The Need For Financing
72(6)
3.2.1 Required External Financing
73(2)
3.2.2 Sustainable Growth
75(3)
3.3 Cash Flow
78(11)
3.3.1 Cash Flow from Operations
81(1)
3.3.2 Cash Flow from Investing
82(1)
3.3.3 Cash Flows from Financing
83(1)
3.3.4 Other Definitions of Cash Flows
83(6)
3.3.4.1 Equity Cash Flow
86(1)
3.3.4.2 Cash Flow to Invested Capital
87(2)
3.4 Cash Receipts And Disbursements
89(9)
3.4.1 Example: The Mogul Corporation
89(9)
3.5 Conclusion
98(13)
Section II Tools for Financial Planning and Modeling: Simulation
Chapter 4 Financial Statement Simulation
111(58)
4.1 Introduction
111(2)
4.2 The Accounting Module
113(7)
4.2.1 Equations of the Module
113(5)
4.2.2 The Income Generation Module
118(1)
4.2.3 The Investment Module
118(1)
4.2.4 The Financing Module
119(1)
4.3 Equilibrium In The Simulation Module
120(3)
4.4 Building A Long-Range Planning Model
123(19)
4.4.1 Model of O&R Corp.
123(12)
4.4.2 Testing the Model
135(1)
4.4.3 Tracking Performance
136(2)
4.4.4 Valuation
138(4)
4.4.4.1 The Valuation Module
138(2)
4.4.4.2 Evaluation and Sensitivity Analysis
140(2)
4.5 Controlling The Flow Of Excess Cash
142(16)
4.5.1 Purchasing Marketable Securities
142(28)
4.5.1.1 Adding Transparency to Required External Financing
142(3)
4.5.1.2 Retiring Short- and Long-Term Debt and Repurchasing Equity
145(13)
4.6 Conclusion
158(11)
Chapter 5 Modeling Value
169(38)
5.1 Introduction
169(1)
5.2 Cash Flow To Equity
170(1)
5.2.1 Dividends versus Dividend-Paying Ability
170(1)
5.3 Cost Of Equity
171(7)
5.3.1 A Simplistic Approach to the Cost of Equity
172(2)
5.3.2 Time-Varying Market-Value-Based Beta
174(4)
5.3.2.1 Circularity
177(1)
5.3.2.2 Automatic Iterations
178(1)
5.4 Dilution: Value Per Share And Issuing New Equity
178(9)
5.4.1 Example: Mythic Corporation
180(4)
5.4.2 Adding Dilution to the O&R Model
184(3)
5.5 Value Of Invested Capital
187(7)
5.5.1 The Weighted Average Cost of Capital, WACC
189(1)
5.5.2 The Invested Capital Approach Using Time-Varying Market-Value-Based Capital Ratios
190(2)
5.5.3 Value Difference between the Equity Approach and the Invested Capital Approach
192(2)
5.6 Terminal Value
194(4)
5.6.1 The Constant Growth Model
194(2)
5.6.1.1 Components of the Terminal Growth Rate
195(1)
5.6.2 Other Models of Terminal Value
196(2)
5.7 Caveats And Extensions
198(4)
5.7.1 Value for a Nondividend Paying Firm
198(1)
5.7.2 Valuing Equity Cash Flow When Not All Free Cash Flow Is Paid Out
199(2)
5.7.3 Additional Dividend Nuances
201(1)
5.8 Summary
202(5)
Chapter 6 Planning for Uncertainty: Monte Carlo Simulation
207(34)
6.1 Introduction
207(2)
6.2 Monte Carlo Simulation
209(4)
6.3 Monte Carlo Software: @Risk
213(3)
6.4 The Ebitda Model With @Risk
216(11)
6.4.1 Adding an Output Variable
217(1)
6.4.2 Simulation Settings
217(1)
6.4.3 Running a Simulation
218(1)
6.4.4 Analyzing the Results
218(2)
6.4.5 Detailed Results
220(1)
6.4.6 Putting the Output into a Spreadsheet
220(2)
6.4.7 Correlating Variables
222(5)
6.4.7.1 Model Results with Correlated Variables
225(2)
6.5 Using Monte Carlo Simulation To Evaluate A Cost-Management Proposal
227(9)
6.5.1 Establishing the Benchmark
227(1)
6.5.2 Odd & Rich under Uncertainty
227(14)
6.5.2.1 Operating Costs
227(1)
6.5.2.2 Current Assets
228(1)
6.5.2.3 Current Liabilities
228(1)
6.5.2.4 Gross Fixed Assets
228(1)
6.5.2.5 Growth, Long and Short
228(1)
6.5.2.6 Adding Monte Carlo Simulation
229(3)
6.5.2.7 Measuring Risk Away's Promise
232(4)
6.6 Summary
236(5)
Section III Introduction to Forecasting Methods
Chapter 7 Forecasting: Time Trend Extrapolation
241(28)
7.1 An Introduction To Forecasting
241(1)
7.1.1 Qualitative versus Quantitative Forecasts
242(1)
7.2 Steps For Developing A Forecasting Model
242(1)
7.3 Time Trend Extrapolation
243(12)
7.3.1 Estimation Period versus Hold-Out Period
245(1)
7.3.2 Time Trend Extrapolation Using Linear Regression
246(4)
7.3.2.1 The Constant-Change Model
246(3)
7.3.2.2 The Compound-Growth Model
249(1)
7.3.3 Assessing Model Validity and Accuracy
250(5)
7.3.3.1 Evaluating Model Validity
251(4)
7.4 Evaluating Forecast Accuracy
255(9)
7.4.1 Diagnostic Measures
255(3)
7.4.1.1 Mean Error
255(1)
7.4.1.2 Mean Absolute Deviation
256(1)
7.4.1.3 Root Mean Square Error
257(1)
7.4.1.4 Residual Standard Error
257(1)
7.4.2 Combining the Estimation Period and the Hold-Out Period
258(1)
7.4.3 The Last Step: Making the Forecast
258(1)
7.4.4 Assessing Forecast Accuracy: Confidence Intervals
259(10)
7.4.4.1 The Standard Error of the Forecast
261(1)
7.4.4.2 The Critical Statistic
262(2)
7.5 Problems With The Forecasting Model
264(1)
7.6 Summary
265(4)
Chapter 8 Forecasting with Econometric Models
269(14)
8.1 Developing A Structural Econometric Model
269(9)
8.1.1 Example: Speckled Band, Inc.
270(7)
8.1.1.1 The Economic and Industry Context
271(6)
8.1.2 Confidence Interval of the Forecast
277(1)
8.2 Summary
278(5)
Chapter 9 Forecasting with Smoothed Data
283(32)
9.1 Introduction
283(1)
9.2 Moving Average
283(4)
9.3 Exponential Smoothing
287(5)
9.4 Evaluating The Model
292(2)
9.4.1 Making the Forecast
293(1)
9.5 Seasonality And Seasonal Decomposition
294(13)
9.5.1 Sources of Variation in Data
294(1)
9.5.2 Seasonal Adjustment Factors
295(4)
9.5.2.1 Estimating the Seasonal Adjustment Factors
298(1)
9.5.3 Removing Seasonality
299(3)
9.5.4 Forecasting Sales
302(2)
9.5.5 Review of Seasonal Adjustment
304(1)
9.5.5.1 Cyclicality
305(1)
9.5.6 The Final Forecast
305(2)
9.6 Summary
307(8)
Section IV A Closer Look at the Details of a Financial Model
Chapter 10 Modeling Long-Term Assets, Capital Budgeting, and Merger Decisions
315(64)
10.1 Fixed Assets In A Long Run Planning Model
315(3)
10.2 Direct Investment Evaluation
318(6)
10.2.1 Investment Evaluation
318(1)
10.2.2 The Invested Capital Method
319(3)
10.2.2.1 Cost of Investment
319(1)
10.2.2.2 Discount Rate
320(1)
10.2.2.3 Cash Flow to Invested Capital
320(2)
10.2.3 The Equity Method
322(1)
10.2.4 Working Capital
323(1)
10.3 Example: Evaluating An Investment For Stiliko Plastics
324(19)
10.3.1 The Details of the Investment
324(2)
10.3.1.1 The Opportunity
324(1)
10.3.1.2 The Objective
324(1)
10.3.1.3 Financing
324(1)
10.3.1.4 The Planning Horizon
324(1)
10.3.1.5 The Constraints: Sales, Production, and Costs
325(1)
10.3.1.6 Project Investment
325(1)
10.3.1.7 Depreciation
326(1)
10.3.1.8 Terminal (Salvage) Value
326(1)
10.3.2 Constructing the Spreadsheet Model
326(13)
10.3.2.1 Data Input
326(2)
10.3.2.2 Data Processing Sheet
328(2)
10.3.2.3 Initial Investment
330(1)
10.3.2.4 Accounting Sections
331(3)
10.3.2.5 Costs of Capital Section
334(1)
10.3.2.6 Evaluation Sheet
335(1)
10.3.2.7 The Invested Capital Method
335(3)
10.3.2.8 Equity Method
338(1)
10.3.3 Evaluating the Investment's Impact on the Firm
339(4)
10.4 Example: Genetic Systems Corporation
343(6)
10.4.1 Success and Failure in Pharmaceutical Research and Development
343(3)
10.4.1.1 Conventional Analysis of the Project Net Present Value
344(1)
10.4.1.2 Risk in the R&D Program
344(2)
10.4.2 Monte Carlo Simulation of Project
346(3)
10.5 Modeling Mergers And Acquisitions
349(15)
10.5.1 Overview
349(2)
10.5.2 Modeling the Merger and Acquisition Problem
351(7)
10.5.2.1 The Merger
351(1)
10.5.2.2 Synergies
352(6)
10.5.3 Monte Carlo Simulation
358(21)
10.5.3.1 COGS
358(2)
10.5.3.2 SG&A
360(1)
10.5.3.3 R&D
361(1)
10.5.3.4 Receivables and Inventory
361(1)
10.5.3.5 Gross PPE
361(1)
10.5.3.6 Accounts Payable
361(1)
10.5.3.7 Growth Rates
361(2)
10.5.3.8 Integration Costs
363(1)
10.5.3.9 Output
363(1)
10.6 Summary
364(15)
Chapter 11 Debt Financing
379(48)
11.1 Debt In The Long-Term Planning Model
379(13)
11.1.1 Constraining Debt Ratios
381(2)
11.1.2 Example: A Borrowing Sector for Odd and Rich
383(8)
11.1.3 Analyzing the Financing Decision
391(1)
11.2 Using Monte Carlo Simulation To Find The Optimal Capital Structure
392(15)
11.2.1 Default Risk, Tax Savings, and Bankruptcy Costs
392(2)
11.2.1.1 Default Risk
392(1)
11.2.1.2 Tax Savings
393(1)
11.2.1.3 Bankruptcy Costs
393(1)
11.2.1.4 Net Benefits from Debt
394(1)
11.2.2 The Monte Carlo Simulation Model
394(13)
11.2.2.1 Simulating the Risk of Default and Bankruptcy
394(4)
11.2.2.2 Simulating Default Risk
398(2)
11.2.2.3 Balancing Taxes and Bankruptcy Costs
400(2)
11.2.2.4 Simulating the Net Benefit of Debt
402(5)
11.3 Additional Debt Modeling Concepts
407(14)
11.3.1 Duration
407(6)
11.3.1.1 Duration as Average Life of Cash Flows
407(3)
11.3.1.2 Duration as Interest Rate Sensitivity
410(2)
11.3.1.3 Duration and Immunization
412(1)
11.3.2 Swaps
413(19)
11.3.2.1 Example: Swapping Plain Vanilla
413(4)
11.3.2.2 Stochastic Interest Rates
417(4)
11.4 Summary
421(6)
Chapter 12 Modeling Working Capital Accounts
427(28)
12.1 Cash
428(4)
12.2 Marketable Securities
432(10)
12.2.1 Example: Managing Securities for the Mogul Corporation
434(8)
12.3 Modeling Receivables And Credit
442(3)
12.4 Inventories
445(2)
12.5 Spontaneous Financing
447(2)
12.6 Summary
449(6)
Section V Modeling Security Prices and Investment Portfolios
Chapter 13 Modeling Security Prices
455(22)
13.1 The Binomial Model Of Stock Price Movement
455(4)
13.2 Stock Prices As A Random Walk In Continuous Time
459(4)
13.3 Binomial Approximation Of The Continuous Price Process
463(4)
13.4 Returns For A Portfolio Of Securities
467(8)
13.4.1 Correlating Returns
470(3)
13.4.2 Running the Simulation
473(2)
13.5 Summary
475(2)
Chapter 14 Modeling Investment Portfolios
477(40)
14.1 Introduction
477(1)
14.2 The Mean-Variance Problem For Two Assets
478(6)
14.3 A Little Linear Algebra
484(6)
14.3.1 Naming the Arrays
488(2)
14.4 The Efficient Frontier With Multiple Assets
490(5)
14.5 Extensions Of Modern Portfolio Theory
495(7)
14.5.1 The Tangency Portfolio
495(3)
14.5.1.1 Extension of the Model to the CAPM
497(1)
14.5.2 Counterintuitive Recommendations
498(4)
14.6 Value-At-Risk
502(11)
14.6.1 Computational Method
502(3)
14.6.2 Historical Simulation
505(2)
14.6.3 Monte Carlo Simulation
507(4)
14.6.4 Discussion of Results
511(2)
14.7 Summary
513(4)
Chapter 15 Options and Option Pricing
517(36)
15.1 Introduction
517(1)
15.1.1 Introducing Calls and Puts
517(1)
15.2 Payoffs From Options
518(9)
15.2.1 Buying Options
518(3)
15.2.2 Writing Options
521(1)
15.2.3 Options as a Leveraged Investment in the Stock
522(1)
15.2.4 Option Combinations
522(2)
15.2.5 Mixing Options with the Stock and a Bond
524(3)
15.3 Option Pricing Models
527(17)
15.3.1 Binomial Option Pricing
527(7)
15.3.1.1 Option Pricing by Replicating the Payoffs
528(2)
15.3.1.2 An Arbitrage Transaction
530(3)
15.3.1.3 The Cox, Ross, and Rubinstein Binomial Option Formula
533(1)
15.3.1.4 Put Value
534(1)
15.3.2 Put-Call Parity
534(4)
15.3.3 Multistep Binomial Option Models
538(17)
15.3.3.1 Two Periods
538(2)
15.3.3.2 Modeling Option Prices with the Binomial Approximation of Continuous Prices
540(4)
15.4 Option Pricing With Continuous Stock Returns: The Black-Scholes Model
544(4)
15.5 Summary
548(5)
Section VI Optimization Models
Chapter 16 Optimization Models for Financial Planning
553(40)
16.1 Introduction To Optimization
553(2)
16.2 Constrained Optimization
555(20)
16.2.1 Linear Programming
556(5)
16.2.2 Using Solver to Find a Solution
561(3)
16.2.3 Example: Investment Decisions on a Limited Budget
564(7)
16.2.3.1 Decision Variables
566(1)
16.2.3.2 Objective Function
566(1)
16.2.2.3 Constraints
567(4)
16.2.4 Using Excel and Solver for the Gartner Problem
571(4)
16.3 Elaborations On The Basic Model
575(7)
16.3.1 Mutually Exclusive Projects
576(1)
16.3.2 Contingent Projects
576(1)
16.3.3 Lending and Borrowing
577(5)
16.3.3.1 Lending
577(1)
16.3.3.2 Borrowing
578(4)
16.4 Borrowing In The LP-Planning Model
582(5)
16.4.1 Risk Constraint
585(2)
16.5 Summary
587(6)
Chapter 17 Planning and Managing Working Capital with Linear Programming
593(22)
17.1 Optimizing Working Capital Decisions
593(2)
17.2 Working Capital Decisions For The Stilko Company
595(9)
17.2.1 Marketable Securities
596(8)
17.2.1.1 Borrowing
596(1)
17.2.1.2 Cash Balance
596(1)
17.2.1.3 Time
596(1)
17.2.1.4 Objective
597(1)
17.2.1.5 Decision Variables
597(1)
17.2.1.6 Constraints
598(1)
17.2.1.7 Objective Function
598(2)
17.2.1.8 Constraints
600(4)
17.3 Elaborations And Extensions
604(8)
17.3.1 Debt Repayment
604(2)
17.3.1.1 Objective
605(1)
17.3.1.2 Constraints
605(1)
17.3.1.3 Repayment
605(1)
17.3.1.4 Borrowing Limit
606(1)
17.3.1.5 Cash Flow Constraint
606(1)
17.3.2 Another Source of Debt Financing: Accounts Payable
606(3)
17.3.2.1 Decision Variables
607(1)
17.3.2.2 Objective
607(1)
17.3.2.3 Constraints
608(1)
17.3.3 Selling Securities
609(3)
17.3.3.1 Decision Variables
610(1)
17.3.3.2 Constraints
610(1)
17.3.3.3 Objective Function
611(1)
17.4 Summary
612(3)
References 615(8)
Index 623
James R. Morris, John P. Daley
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