Financial Modeling, 2nd Edition (英語) ハードカバー – 2000/9/18
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一般の財務講座では、教科書による財務知識とビジネスで生ずる実際の問題を結び付けるには至っていない場合が非常に多い。財務モデリングにより、共通の財務モデルをスプレッドシートで解決するための基本的な手引を提供することによって、理論と実践のこのような間隙が埋められている。著者のサイモン・ベニンガはマイクロソフトの Excel を用いた解法を示しながら、それぞれのモデルをいくつかの段階にわけて説明している。このような意味で、本書は材料と指示のリストからなる調理法を提供する財務の「調理本」といえる。対象分野は、企業財務問題、標準的ポートフォリオ問題、オプション価格およびその応用、継続期間とイミュニゼーションなどである。第2版には、財務計算、資本コスト、バリュー・アット・リスク（VaR）、リアルオプション、早期行使の限界、および期間構造モデリングを対象とした新しい6章が収載されている。 新しい技法の章には Excel を使用するためのさまざまなヒントが盛り込まれている。読者は簡単なスプレッドシートを作成するためにも Excel について十分知っておくべきであるが、著者は本書で使用される Excel の高度な技術を説明している。本書には、乱数の生成、データ表、マトリックス操作、およびVBEプログラミングを扱った章が盛り込まれている。また、 Excel のワークシートと章末問題の解法を含むCD-ROMも添付されている。
Too often, finance courses stop short of making a connection between textbook finance and the problems of real-world business. Financial Modeling bridges this gap between theory and practice by providing a nuts-and-bolts guide to solving common financial models with spreadsheets. Simon Benninga takes the reader step by step through each model, showing how it can be solved using Microsoft Excel®. In this sense, this is a finance "cookbook," providing recipes with lists of ingredients and instructions.
Areas covered include computation of corporate finance problems, standard portfolio problems, option pricing and applications, and duration and immunization. The second edition contains six new chapters covering financial calculations, cost of capital, value at risk (VaR), real options, early exercise boundaries, and term structure modeling. A new technical chapter contains a potpourri of tips for using Excel®.
Although the reader should know enough about Excel™ to set up a simple spreadsheet, the author explains advanced Excel® techniques used in the book. The book includes chapters dealing with random number generation, data tables, matrix manipulation, and VBA programming. It also comes with a CD-ROM containing Excel® worksheets and solutions to end-of-chapter exercises.
For further information, please use the "Look Inside" feature and examine the Table of Contents carefully, as I will emphasize selected portions.
First, caveats: Benninga characterizes himself as an author of a “cookbook” and I only partially agree. Like the very best cookbooks by brilliant chef teachers such as Julia Child, FM4 is a pedagogical masterpiece because it is excellent for “learning by doing” that makes concepts real to practitioners and students. "Cookbook" metaphors are therefore too strong and do not do this work justice, for FM4 is not a mere collection of recipes but rather topical introduction, explanation, and then direct technique. If we can make a comparison with a "cookbook" then FM4 falls somewhere between "The Joy of Cooking" and "Mastering the Art of French Cooking." "Joy" combines chapters on technique, ingredients, and tools with dense pages of endless recipes, whereas "Mastering" emphasizes technique and a few well-selected recipes.
In addition, a caveat is that the work does explicitly use Excel for explanations. Increasingly in Masters of Science in Finance coursework models are directly coded in Matlab or the children of C or R, or at banks’ or financial service firms’ proprietary systems are used. The use of the ubiquitous Excel may at first appear to trivialize what is accomplished in this work, but it ironically does not. Certainly in a small shop Excel will be the first tool, and this work’s models will therefore be directly useful. In large more complex shops where proprietary or internal systems are custom platforms, the exact same things made explicit and simple in this book with Excel will be occurring under the hood of that enormous machine. Therefore: if you work through this book and understand the models here that are executed in Excel you will understand what is going on in the silicon beast you are attached to on a proprietary trading desk. Under the hood is this same stuff, just on a different platform.
Benninga's FM4 is explicitly for those who must make financial decisions using models. There are further specialist texts in topics covered here (credit modeling, portfolio construction, option pricing, etc.), but the models in FM4 are the first advanced models applied to leases, loans, bonds, options, and equity portfolios. Master these and then specialized texts are easier to digest.
What is new? Benninga has chosen to start the work with an introduction to the tools used repeatedly throughout the text: data tables, getformula, etc. Basic Financial Calculations follows, and then the meaty chapters of previous editions on corporate valuation, WACC, valuation, pro-forma modeling, leasing, portfolios, efficient portfolios, variance-covariance matrix, beta estimation and the security market line, constrained portfolios, the Black-Litterman approach to portfolio optimization, and Monte Carlo methods and applications to option pricing and other topics, and the previous 2nd and 3rd edition's small chapter on using array functions and formulas has been expanded. The portion on data downloads from YAHOO is also welcome, especially for those on a budget. Sadly, the stand-alone chapter on bank valuation from the 3rd edition is now missing.
There is a single flaw in the work, which is excusable and redeemable. Often the discounting in the chapters is done over a flat interest rate curve to make the example explicit and clear. The material on the term structure of interest rates is covered and expanded, and historical term structures and parallel shifts and steepening and flattening is covered in isolation in thorough chapters and with wonderful data files. The necessity and explicit connection of discounting from an appropriate yield curve is often left implied and only mentioned in a few exercises. I would have preferred that each chapter where discounting a time series was necessary ended with a small section showing explicit valuation under a yield curve with advanced models. BLOOMBERG and REUTERS have these sort of things (often incorrectly) programmed, but students must learn explicitly about and do exercises themselves to comprehend the importance of curve discounting.
I preferred the old CD-ROM that came with the 1,2nd, and 3rd editions of the book, but I am showing my age. The downloadable models that accompany the text are alone worth the price, with over three score of models that are practical and adaptable for students and professionals alike. They are easy and straightforward to download, but do demand a stable optical or T1 line when doing so. The files are sorted and separated according to chapters and subject matter. Each file has logical progression of the concepts advanced in the book, and each separate sheet either stands alone or appropriately links to data and models on other sheets, so editing for your own purposes is a breeze.
For those who want to train themselves in Finance (not "personal finance") then I suggest reading Copeland, Weston, & Shastri's Financial Theory and Corporate Policy (4th Edition) and Brealey, Myers, and Marcus's "Corporate Finance" and "Investments" followed by working through FM4. Such a course would give any self-disciplined person the equivalent of a Master’s of Science in Finance.
The appropriately sized typeface is clear crisp Times Roman printed on off-white-touch-of-cream paper, so it is perfect under incandescent, florescent, or natural light and has no glare nor causes eye fatigue.
Full disclosure: Professor Benninga and I correspond by e-mail, and I have taught in graduate and undergraduate and executive programs using the previous editions of this work since 1998, and am thanked in the acknowledgements of some editions for pointing to typographical errors. He has been unfailingly supportive to my work and my students, a mensch and a tzadik.
Purchase this book now for a brighter financial future. - “Bachelier” Paris, September 2014.
Truly great book.
The inadequacies that limit my assessment to four stars and need to be addressed in the third edition are: 1) frustrating errors in the text and models, for which the errata sheet and corrected models (available at: [...] only improve, but do not heal. My students find new, undocumented, errors each semester. 2) the data sets and examples are getting, frankly, a little old. It is the year 2005 as I write this, but the data sets and examples end in 1999, a year in which my current students were in high school. 3) the models, while excellent as introductions to the field, are now at the point of being fundamental, rather than exemplary. This is not Prof. Benninga's fault, but as the other reviews from professionals here attest, Excel modeling has advanced in all fields (option pricing, financial statements, portfolio optimization, bond metrics, etc). When this volume was introduced, it was adequate for helping MBA and Master of Science in Finance students build essential modeling skills. Sadly, it now is only appropriate for raw beginners or undergraduates. A new text with a larger scope that addresses advances in the fields is called for. 4) While it is a subject in itself, the book is seriously hindered by not introducing basic Monte Carlo simulation in Excel. 5) No information on downloading data from BLOOMBERG, REUTERS, and other historical and market data providers. It would add to the scope of the text, but 6) fitting DCF models to yield curves also would be welcome.
Even with these criticisms, Benninga's Financial Modeling remains the best book in the field for what it seeks to accomplish. It covers the major topics of finance that are appropriately addressed with models: financial statement, firm valuation and credit metrics, portfolio construction, fixed income metrics, option pricing, etc. Benninga's FM also compares favorably with his two nearest competitors.
Powel and Baker's "The Art of Spreadsheet Modeling" is a two pronged monster: it seeks to be a meta-level theoretical work on spreadsheet modeling, and then introduces modeling Monte Carlo simulation as a fundamental component of Excel (a student edition of CrystalBall is included in the text, and is the only reason to buy this book). The gap between the two is a Grand Canyon's worth of knowledge space that this text does not fill in and nearly ignores. The student who uses only Powel and Baker is ill served; whereas if he uses Benninga, he knows how, why, when and what to model. Consider Powel & Baker as sketches of a concept car with simulated wind tunnel runs, whereas Benninga shows how to build your own kit car and drive it around. Powel and Baker's concept car is beautiful, advanced, gracious, but doesn't exist and doesn't run; Benninga's kit car is like a Lotus Super Seven: simple, runs, is a blast to drive, but is dangerous in heavy traffic and you would not want to go on a 1,000 mile journey with it (i.e. or build a DCF model for the Goldman Sachs LBO team with only Benninga).
Chandan Sengupta's "Financial Modeling Using Excel and VBA" is the only book that comes close to Benninga, and I recommend it as another perspective for my students who want to continue with financial modeling. However, Sengupta's work is flawed on two counts: 1) it is clear throughout that he had read Benninga, and 2) he dropped much of Benninga's content in favor of adding wordy explanatory paragraphs to soften the blow of the fact that modeling is mathematically and technically both boring and intense work. With those criticisms in mind, his work still has neater, leaner, more compressed models with updated contemporary detail.
There are three other books, Scott Proctor's "Building Financial Models with Microsoft Excel: A Guide for Business Professionals," which focuses on building vanilla financial statements, as does John Tjia "Building Financial Models." Mary Jackson & Mike Staunton's "Advanced Modeling in Finance using Excel and VBA" is also now dated and seriously flawed and limited in scope), however it is the next step following Benninga.
For those working in top-tier banks, the internal training and modeling documents, and examples built by colleagues, will likely surpass by light years what is offered in these books. And so for beginners, Benninga remains the the best choice and first step, until something better comes along, or Benninga himself produces a new edition.
The book is quite practical using excel for modeling. It is relatively easy to follow.
However, the book is missing some intuition and explanations.
Also, it does not discuss much about the subjective choices in financial modeling (see Damodaran's books).
Still this book is a very practical book.
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