Foydalanuvchi:Sanjar Abdimominov/qumloq

Moliyaviy modellashtirish - bu real dunyo moliyaviy holatining mavhum tasvirini (modelini) yaratish vazifasidir. Bu moliyaviy aktiv yoki biznes, loyiha yoki boshqa har qanday investitsiya portfelining (soddalashtirilgan versiyasi) ishlashini aks ettiruvchi matematik modeldir.

Odatda, moliyaviy modellashtirish aktivni narxlash yoki korporativ moliya bo‘yicha, miqdoriy xususiyatga ega bo‘lgan mashq sifatida tushuniladi. Bu bozorlardagi yoki agentlarning xatti-harakatlari to‘g‘risidagi taxminlarni sonli bashoratlarga tarjima qilish haqida. Shu bilan birga, "moliyaviy modellashtirish" umumiy atama bo‘lib, u turli foydalanuvchilar uchun turli narsalarni anglatadi; odatda bu atama buxgalteriya va korporativ moliya qo‘llanmalariga yoki miqdoriy moliya qo‘llanmalariga tegishli.

Buxgalteriya

Buxgalteriya hisobi Elektron jadval asosida tuzilgan pul oqimini bashorat qilish

Korporativ moliya va buxgalteriya kasbida moliyaviy modellashtirish odatda moliyaviy hisobotlarni prognozlashni o‘z ichiga oladi; odatda, qaror qabul qilish uchun va moliyaviy tahlil uchun foydalaniladigan batafsil kompaniyaga xos modellarni tayyorlashni anglatadi.

Qo‘llanilish doirasi quyidagilarni o‘z ichiga oladi:

- Biznes qiymatini va aksiyalarni baholash - ayniqsa, diskontlangan pul oqimi orqali, lekin boshqa baholash yo'lllarini ham o‘z ichiga oladi - Senariy rejalashtirish va boshqaruv qarorlarini qabul qilish ("nima mavjud"; "agar nima bo‘lsa"; "nima qilish kerak") - Byudjetlashtirish: daromadlarni prognozlash va tahlil qilish; ishlab chiqarishni byudjetlashtirish; operatsiyalarni byudjetlashtirish - Kapitalni byudjetlashtirish, shu jumladan kapitalning qiymati (ya'ni WACC) hisob-kitoblari - Pul oqimini prognozlash; aylanma kapital va xazina boshqaruvi; aktiv va majburiyatlarni boshqarish - Moliyaviy hisobot tahlili / nisbiy tahlil (shu jumladan, operatsion va moliyaviy ijara shartlari hamda ilmiy-tadqiqot ishlari) - Tranzaksiya tahlili: M&A, PE, VC, LBO, IPO, Loyihani moliyalashtirish, P3 - Kredit qarorlari: Kredit tahlili, Iste'molchilar kredit xavfi; kredit yo‘qotish va ta'minot modellashtirish - Boshqaruv buxgalteriyasi: Faoliyat asosida xarajatlarni hisoblash, Rentabellik tahlili, Xarajatlar tahlili, Umr bo‘yi xarajatlar, Menejerlik xavf buxgalteriyasi - Davlat sektori xarid qilishi

Ushbu modellar haqida umumiylashtirish uchun: birinchidan, ular moliyaviy hisobotlar atrofida qurilganligi sababli, hisob-kitoblar va natijalar oylik, choraklik yoki yillik bo‘ladi; ikkinchidan, kirish ma'lumotlari "farazlar" shaklida bo‘ladi, bu yerda tahlilchi har bir davrda qo‘llaniladigan tashqi / global o‘zgaruvchilar (valyuta kurslari, soliq foizi va boshqalar) uchun qiymatlarni belgilaydi (madel parametrlari sifatida qaralishi mumkin) va ichki / kompaniyaga xos o‘zgaruvchilar (ish haqi, tannarx va boshqalar) uchun. Shunga mos ravishda, ikkala xususiyat ham ushbu modellar matematik shaklida (kamida, bilvosita) aks ettiriladi: birinchidan, modellarda diskret vaqt o‘lchovi qo‘llaniladi; ikkinchidan, ular deterministikdir.

Bu kasb egalari ko‘pincha "moliyaviy tahlilchi" deb ataladi (va ba'zida hazil tariqasida "raqam maydalovchilar" deb ham ataladi). Odatda, modelchi MBA yoki MSF ni "moliyaviy modellashtirish" bo‘yicha (ixtiyoriy) kurs bilan tugatgan bo‘ladi. Buxgalteriya malakalari va moliya sertifikatlari, masalan, CIIA va CFA odatda modellashtirish bo‘yicha bevosita yoki aniq o‘qitishni ta'minlamaydi. Shu bilan birga, ko‘plab tijorat trening kurslari ham universitetlar orqali, ham xususiy tarzda taklif etiladi.

Garchi maqsadli biznes dasturi mavjud bo‘lsa-da, bozorning katta qismi elektron jadval asosida tuziladi; bu asosan, modellar deyarli har doim kompaniyaga xos bo‘lgani uchun. Shuningdek, tahlilchilar moliyaviy modellashtirish uchun o‘zlarining mezonlari va usullariga ega bo‘ladi. Microsoft Excel hozirda Lotus 1-2-3 ni 1990-yillarda ortda qoldirib, ancha kuchli o‘ringa ega. Elektron jadval asosida modellashtirishning o‘z muammolari bo‘lishi mumkin va bir necha standartlashtirish va "eng yaxshi amaliyotlar" taklif qilingan. "Elektron jadval xavfi" tobora ko‘proq o‘rganilmoqda va boshqarilmoqda.

One critique here, is that model outputs, i.e. line items, often inhere "unrealistic implicit assumptions" and "internal inconsistencies". (For example, a forecast for growth in revenue but without corresponding increases in working capital, fixed assets and the associated financing, may imbed unrealistic assumptions about asset turnover, debt level and/or equity financing. See Sustainable growth rate § From a financial perspective.) What is required, but often lacking, is that all key elements are explicitly and consistently forecasted. Related to this, is that modellers often additionally "fail to identify crucial assumptions" relating to inputs, "and to explore what can go wrong". Here, in general, modellers "use point values and simple arithmetic instead of probability distributions and statistical measures"

Asosiy o'ylantiradigan narsa, model natijalari, ya'ni chiziqli elementlar ko‘pincha "haqiqiy bo‘lmagan noaniq farazlar" va "ichki nomuvofiqliklar" ni o‘z ichiga oladi. (Masalan, daromadlarning o‘sishi prognozi, lekin aylanma kapital, asosiy aktivlar va tegishli moliyalashtirish bo‘yicha tegishli o‘sishlarsiz, aktivlar aylanishi, qarz miqdori va/yoki kapitalni moliyalashtirish bo‘yicha haqiqatga to‘g‘ri kelmaydigan taxminlarni o‘z ichiga olishi mumkin) Bu yerda kerak bo‘lgan narsa, lekin ko‘pincha etishmaydigan narsa shundaki, barcha asosiy elementlar aniq va izchil prognoz qilinishi kerak. Bunga tegishli ravishda, modellashtiruvchilar ko‘pincha kiritishlar bilan bog‘liq bo‘lgan "muhim farazlarni aniqlay olmaydi" va "nima noto‘g‘ri bo‘lishi mumkinligini o‘rganmaydi". Bu yerda, odatda, modellashtiruvchilar "aniq qiymatlar va oddiy arifmetika" dan foydalanadilar, ya'ni muammolar deterministik tabiatda ko‘rib chiqiladi va shuning uchun aktiv yoki loyiha uchun bitta qiymat hisoblanadi, lekin natijalar diapazoni, dispersiyasi va sezgirligi bo‘yicha ma'lumot bermaydi. Bundan tashqari, umumiy tanqid, modellashtiruvchilar orasida asosiy kompyuter dasturlash tushunchalarining etishmasligi bilan bog‘liq bo‘lib, natijada ularning modellarining tuzilishi yaxshi emas va saqlash qiyin. Jiddiy tanqid byudjetlashtirishning mohiyati va uning tashkilotga ta'siriga ham qaratilgan.

Miqdoriy moliya

Foiz stavkasini "daraxt" shaklida tasvirlash - odatda tijorat derivativ dasturlari tomonidan qaytariladi

Miqdoriy moliyada, moliyaviy modellashtirish murakkab matematik modelni ishlab chiqishni o‘z ichiga oladi. Bu yerda modellar aktiv narxlari, bozor harakatlari, portfel daromadlari va shunga o‘xshashlarni o‘z ichiga oladi. Umuman olganda, quyidagi yo‘nalishlar farqlanadi:

(i) "Miqdoriy aktiv baholash", turli aksiyalarning daromadlarini modellashtirish;

(ii) "Moliyaviy muhandislik", derivativ qimmatli qog‘ozlarining narxi yoki daromadlarini modellashtirish;

(iii) "Miqdoriy portfelni boshqarish", avtomatlashtirilgan savdo, yuqori chastotali savdo, algoritmik savdo va dasturiy savdoni asoslovchi modellar

Shu bilan bog‘liq ravishda qo‘llanish sohalari quyidagilardan iborat:

• Optsion narxlash va ularning "Greeks" ni hisoblash (uchuvchi sirtlarini qabul qiluvchi - mahalliy/stoxastik uchuvchi modellar va ko‘p egri chiziqlar orqali)
• Boshqa derivativlar, ayniqsa foiz stavkalari derivativlari, kredit derivativlari va ekzotik derivativlar
• Foiz stavkalarining muddatiy tuzilmasini modellashtirish (bootstrapping/ko‘p egri chiziqlar, qisqa stavkali modellar, HJM framework) va shunga bog‘liq kredit spreadlari
• Kredit baholash sozlamasi, CVA, shuningdek, turli xil XVA
• Kredit xavfi, qarz oluvchi kredit xavfi va tartibga soluvchi kapital: EAD, PD, LGD, PFE, EE; Jarrow-Turnbull modeli, Merton modeli, KMV modeli
• Strukturaviy mahsulotlarni loyihalash va ishlab chiqarish
• Portfel optimallashtirish va miqdoriy investitsiya qilishning umumiy yondashuvi; bu yerda qo‘llaniladigan optimallashtirish usullari haqida ko‘proq ma'lumot
• Moliyaviy xavf modellashtirish: risk qiymati (parametrik va/yoki tarixiy, CVaR, EVT), stress sinovi, "sezgirliklar" tahlili (Greeks, duration, convexity, DV01, KRD, CS01, JTD)
• Korporativ moliya qo‘llanishi: pul oqimi tahlillari, korporativ moliyalash faoliyatini prognoz qilish muammolari va kapital investitsiyasidagi xavf tahlillari
• Real optsionlar
• Aktuar qo‘llanilishi: Dinamik moliyaviy tahlil (DFA), UIBFM, investitsion modellashtirish

Bu muammolar, odatda, stoxastik va uzluksiz xarakterga ega bo‘lib, bu modellar murakkab algoritmlarni talab qiladi, bu esa kompyuter simulyatsiyasini, ilg‘or raqamli usullarni (masalan, raqamli differensial tenglamalar, raqamli chiziqli algebra, dinamik dasturlash) va/yoki optimallashtirish modellarini ishlab chiqishni o‘z ichiga oladi.

Modellovchilar odatda "kvantlar", ya'ni miqdoriy tahlilchilar deb ataladi va odatda statistik, fizika, muhandislik, kompyuter fanlari, matematika yoki operatsion tadqiqotlar kabi kvantitativ fanlar bo‘yicha ilg‘or (Ph.D. darajasidagi) bilimga ega bo‘ladilar.

Alternatively, or in addition to their quantitative background, they complete a finance masters with a quantitative orientation, such as the Master of Quantitative Finance, or the more specialized Master of Computational Finance or Master of Financial Engineering; the CQF certificate is increasingly common.

Yoki, ularning kvantitativ bilimiga qo‘shimcha ravishda, ular kvantitativ yo‘nalishga ega moliyaviy magistratura dasturlarini tugatadilar, masalan, Miqdoriy moliya magistri, yoki ko‘proq ixtisoslashgan Hisoblash moliyasi magistri yoki Moliyaviy muhandislik magistri; CQF sertifikati tobora keng tarqalmoqda.

Bu yerda ham elektron jadvallar keng qo‘llanilsa-da (deyarli har doim keng qamrovli VBA talab qiladi); maxsus C++, Fortran yoki Python, yoki MATLAB kabi raqamli tahlil dasturlari tez-tez afzal ko‘riladi, ayniqsa, barqarorlik yoki tezlik muammosi bo‘lgan hollarda. MATLAB ko‘pincha tadqiqot yoki prototiplash bosqichida qo‘llaniladi, chunki uning dasturlash, grafik va debugging vositalari intuitiv hisoblanadi, lekin C++/Fortran MATLAB juda sekin bo‘lgan hollarda kontseptual jihatdan sodda, ammo yuqori hisoblash xarajatli qo‘llanilishlar uchun afzal ko‘riladi; Python esa uning soddaligi va katta standart kutubxonasi / mavjud dasturlari, shu jumladan QuantLib tufayli tobora ko‘proq qo‘llanilmoqda.

Bundan tashqari, ko‘plab (standart) derivativ va portfel qo‘llanishlari uchun tijorat dasturlari mavjud va modelning uyda ishlab chiqilishi yoki mavjud mahsulotlarning joriy etilishi muammoga bog‘liq bo‘ladi.

Ushbu modellar murakkabligi noto‘g‘ri narxlash yoki hedging yoki ikkalasiga olib kelishi mumkin. Bu Model xavfi moliya olimlari tomonidan davom etayotgan tadqiqot mavzusidir va risk boshqaruvi sohasida katta va ortib borayotgan qiziqish mavzusidir.

Moliyaviy modellashtirish falsafasi

Moliyaviy modellashtirish falsafasi — bu modellashtirish fanining asoslari, usullari va oqibatlari bilan shug'ullanadigan falsafa tarmog'idir.

Moliyaviy modellashtirish falsafasida, olimlar yaqinda moliyaviy modellovchilar har qanday "haqiqiy dunyo" yoki amalda davom etayotgan investitsiya holatini aks ettirishga intilishadi degan umumiy qabul qilingan farazni shubha ostiga qo'ya boshladilar. Buning o'rniga, moliyaviy modellovchining vazifasi dastlab modelda taxmin qilingan cheklangan imkoniyatlar bazasidan kelib chiqib, investitsiya ssenariysida tranzaksiya imkoniyatini namoyish etishdan iborat ekanligi taklif qilinmoqda.

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