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Modeling Risk, + DVD: Applying Monte Carlo Risk Simulation, Strategic Real Options, Stochastic Forecasting, and Portfolio Optimization Hardcover – July 6, 2010


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Modeling Risk, + DVD: Applying Monte Carlo Risk Simulation, Strategic Real Options, Stochastic Forecasting, and Portfolio Optimization + Decision Analysis for Management Judgment
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Product Details

  • Hardcover: 976 pages
  • Publisher: Wiley; 2 edition (July 6, 2010)
  • Language: English
  • ISBN-10: 0470592214
  • ISBN-13: 978-0470592212
  • Product Dimensions: 6.5 x 1.7 x 9.3 inches
  • Shipping Weight: 2.9 pounds (View shipping rates and policies)
  • Average Customer Review: 4.2 out of 5 stars  See all reviews (6 customer reviews)
  • Amazon Best Sellers Rank: #838,597 in Books (See Top 100 in Books)

Editorial Reviews

From the Inside Flap

We live in a world filled with risk and operate our businesses in an increasingly risky environment, as higher rewards only come with risks. Ignoring the element of risk when corporate strategy is being developed and tactical projects are being implemented is not an option.

In addressing the issue of risk, this reliable resource provides a novel view of evaluating business decisions, projects, and strategies by taking into consideration a unified strategic portfolio analytical process. Page by page, the Second Edition of Modeling Risk offers a qualitative and quantitative description of risk, as well as introduces the methods used in identifying, quantifying, applying, predicting, valuing, hedging, diversifying, and managing risk.

Divided into nine comprehensive parts, Modeling Risk, Second Edition includes many updated and new discussions, examples, exercises, and case studies. And while it's sophisticated enough for those well-versed in risk analysis, this edition is also an appropriate guide for aspiring professionals as well as individuals at the graduate level of academic study.

Besides providing you with a detailed description of such key concepts as risk and return, the fundamentals of model building, Monte Carlo simulation, forecasting, time-series and econometric analysis, optimization, and strategic real options analysis, this Second Edition contains important updates that reflect today's evolving environment, including:

  • New case studies on market and credit risk as it applies to Basel II requirements, a billion-dollar negotiation case study applying risk analytics for the state of California, U.S. military applications, IT security risk analysis, and project management risk analysis

  • Many new hands-on exercises for applying and modeling risk, forecasting, optimization, and business analytics

  • The pitfalls of forecasting, with discussions of structural shifts, stochastic processes, nonlinearity, autocorrelation, heteroskedasticity, multicollinearity, and others

  • Using stochastic optimizations, investment efficient frontiers, and superspeed simulation-optimization techniques for project selection, portfolio optimization, investment allocation, and optimal pricing

  • Realistic recommendations on how to take risk analysis into a company and obtain a higher level of adoption

To help solidify your understanding of the topics discussed, Modeling Risk, Second Edition is supported by a companion DVD that contains innovative trial versions of the author's Risk Simulator and Real Options Super Lattice Solver software, as well as associated Excel spreadsheet models. The DVD also features free "getting started modeling" videos, additional case studies, and examples. With these tools at your disposal, you'll quickly discover how to quantify the risks associated with different types of business uncertainties.

By combining expert advice and in-depth business cases with cutting-edge analysis software, Modeling Risk, Second Edition will help you better understand risk and confidently apply your knowledge of it to your most important business endeavors.

From the Back Cover

Praise for Modeling Risk, Second Edition

"Unavoidable for any professional . . . logical, concrete, and conclusive approach."
Jean Louis Vaysse, Vice President of Marketing, Airbus (France)

"A must-have, must-read book with practical applications of risk analysis."
Glenn Kautt, President and Chairman, The Monitor Group, Inc.

"Clear step-by-step approach . . . latest technology in decision making for real-world business."
Dr. Paul W. Finnegan, Vice President, Alexion Pharmaceuticals, Inc.

"A must-read for product portfolio managers . . . captures risk exposure of strategic investments."
Rafael E. Gutierrez, Executive Director of Strategic Marketing and Planning, Seagate Technology LLC

"Clearly organized and tool-supported exploration of real-life business risks, options, and strategy."
Robert Mack, Vice President, Distinguished Analyst, Gartner, Inc.

"Valuable tools for corporations to deliver value to shareholders and society even in rough times."
Dr. Markus Götz Junginger, Lead Partner, Gallup (Germany)

"Powerful toolset for portfolio/program managers to make rational choices among alternatives."
Rear Admiral James Greene (U.S. Navy, Retired), Acquisition Chair, Naval Postgraduate School

"Pragmatic powerful risk techniques, valuable theoretical insights, and analytics useful in any industry."
Dr. Robert S. Finocchiaro, Director, Corporate R&D Services, 3M

"Clear road map and breadth of topics to create dynamic risk-adjusted strategies and options."
Jeffrey A. Clark, Vice President, Strategic Planning, The Timken Company

"Most important risk tools in one volume . . . a definitive source on risk management with vivid examples."
Dr. Ricardo Valerdi, Engineering Systems, Massachusetts Institute of Technology

"Full range of flexible methodologies and applications for quantifying and mitigating risk for effective enterprise risk management."
Raymond Heika, Director, Strategic Planning, Northrop Grumman Corporation


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Customer Reviews

4.2 out of 5 stars
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Most Helpful Customer Reviews

By Barny on June 22, 2014
Format: Hardcover Verified Purchase
I'm rather disappointed in this book. The majority of the text is focused on how to use the included software (which costs $1500 from what I can tell) rather than the underlying methods for simulation/forecasting. Thus if you do not plan on purchasing the software the book does not offer much in terms of learning.
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0 of 1 people found the following review helpful By LUIS CASTILLO on October 20, 2013
Format: Hardcover Verified Purchase
for me is a useful tool, I'm interested in valuation and measurement of the impact of the projects and this book respond to my expectancy...
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0 of 1 people found the following review helpful By Amazon Customer on July 21, 2014
Format: Kindle Edition
Clear and concise as with any work by Dr. Jonathan Mun. Genius, not to mention the awesome the VB Excel based software package that is truly a work of art.
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