Credit Risk Modeling using Excel and VBA

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9780470660928: Credit Risk Modeling using Excel and VBA
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This book provides practitioners and students with a hands-on introduction to
modern credit risk modeling. The authors begin each chapter with an accessible
presentation of a given methodology, before providing a step-by-step guide to
implementation methods in Excel and Visual Basic for Applications (VBA).
The book covers default probability estimation (scoring, structural models,
and transition matrices), correlation and portfolio analysis, validation, as well
as credit default swaps and structured finance. Several appendices and videos
increase ease of access.
The second edition includes new coverage of the important issue of how
parameter uncertainty can be dealt with in the estimation of portfolio risk, as
well as comprehensive new sections on the pricing of CDSs and CDOs, and
a chapter on predicting borrower-specific loss given default with regression
models. In all, the authors present a host of applications - many of which
go beyond standard Excel or VBA usages, for example, how to estimate logit
models with maximum likelihood, or how to quickly conduct large-scale Monte
Carlo simulations.
Clearly written with a multitude of practical examples, the new edition of
Credit Risk Modeling using Excel and VBA will prove an indispensible resource
for anyone working in, studying or researching this important field.

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"synopsis" may belong to another edition of this title.

From the Author:

Additional material, including slide sets and exercises for lecturers, is available on our homepage loeffler-posch.com.

From the Inside Flap:

Further praise for the first edition

"I read this book cover-to-cover and recommend
it heartily. For each topic, there is straightforward
explanation, practical examples, and implementable
coding. This book would have saved me months of
effort many times over with its full 'toolset' of Excel/
VBA code. I have immediate plans to reread sections
and incorporate sections of code into my own
spreadsheets."
Greg M. Gupton, Founder and Director,
DefaultRisk.com

Praise for the second edition

"This is a very useful book. It provides incisive basic
background knowledge on modelling for key credit
risk topics, including a new chapter on loss given
default prediction, and the coding examples help to
deepen the readers' understanding and can be used
as the basis for more advanced approaches, possibly
with more powerful tools."
Dirk Tasche, Senior Risk Advisor, Lloyds

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Gunther Loeffler, Peter N. Posch
Published by John Wiley and Sons Ltd, United Kingdom (2011)
ISBN 10: 0470660929 ISBN 13: 9780470660928
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Book Description John Wiley and Sons Ltd, United Kingdom, 2011. Hardback. Condition: New. 2nd Edition. Language: English. Brand new Book. It is common to blame the inadequacy of credit risk models for the fact that the financial crisis has caught many market participants by surprise. On closer inspection, though, it often appears that market participants failed to understand or to use the models correctly. The recent events therefore do not invalidate traditional credit risk modeling as described in the first edition of the book. A second edition is timely, however, because the first dealt relatively briefly with instruments featuring prominently in the crisis (CDSs and CDOs). In addition to expanding the coverage of these instruments, the book will focus on modeling aspects which were of particular relevance in the financial crisis (e.g. estimation error) and demonstrate the usefulness of credit risk modelling through case studies. This book provides practitioners and students with an intuitive, hands-on introduction to modern credit risk modelling. Every chapter starts with an explanation of the methodology and then the authors take the reader step by step through the implementation of the methods in Excel and VBA.They focus specifically on risk management issues and cover default probability estimation (scoring, structural models, and transition matrices), correlation and portfolio analysis, validation, as well as credit default swaps and structured finance. The book has an accompanying website, /, which has been specially updated for this Second Edition and contains slides and exercises for lecturers. Seller Inventory # AAH9780470660928

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