Credit Risk Modeling Using Excel and VBA

Loffler, Gunter; Posch, Peter N.

ISBN 10: 0470660929 / ISBN 13: 9780470660928

Published by Wiley, 2011

About this Item

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Bibliographic Details

• Title: Credit Risk Modeling Using Excel and VBA
• Publisher: Wiley
• Publication Date: 2011
• Language: English
• ISBN 10: 0470660929
• ISBN 13: 9780470660928
• Binding: Hardcover
• Edition: 2nd Edition
• Condition: good

About this title

Synopsis

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.

About the Author

GUNTER LÖFFLER is Professor of finance at
the University of Ulm in Germany. His current
research interests are on credit risk and empirical
finance. Previously, Gunter was Assistant Professor
at Goethe University Frankfurt, and served as
an internal consultant in the asset management
division of Commerzbank. His Ph.D. in finance
is from the University of Mannheim. Gunter has
studied at Heidelberg and Cambridge Universities.

PETER N. POSCH is Assistant Professor of finance
at the University of Ulm in Germany. Previously,
Peter was with the credit treasury of a large bank,
where he also traded credit derivatives and other
fixed income products for the bank's proprietary
books. His Ph.D. in finance on the dynamics of
credit risk is from the University of Ulm. Peter
has studied economics, philosophy and law at the
University of Bonn.