Credit risk modeling using Excel and VBA
by
Löffler, Gunter (Gunter Johannes)
Title
:
Credit risk modeling using Excel and VBA
Author
:
Löffler, Gunter (Gunter Johannes)
ISBN
:
9780470031575
Personal Author
:
Löffler, Gunter (Gunter Johannes)
Publication Information
:
Chichester, England ; Hoboken, NJ : Wiley, c2007.
Physical Description
:
xii, 261 p. : ill. ; 25 cm. + 1 DVD.
Series
:
Wiley finance series
Series Title
:
Wiley finance series
General Note
:
Formerly CIP.
Contents
:
Estimating credit scores with Logit -- The structural approach to default prediction and valuation -- Transition matrices -- Prediction of default and transition rates -- Modeling and estimating default correlations with the asset value approach -- Measuring credit portfolio risk with the asset value approach -- Validation of rating systems -- Validation of credit portfolio models -- Risk-neutral default probabilities and credit default swaps -- Risk analysis of structured credit : CDOs and first-to-default swaps -- Basel II and internal ratings.
Abstract
:
"This book provides practitioners and students with an intuitive, hands-on introduction to modern credit risk modeling. A typical chapter starts with an approachable presentation of the methodology. Step by step, the authors then show how to implement the methods in Excel and Visual Basic for Applications. Focusing on risk management issues, 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 case of access."--BOOK JACKET.
Title Subject
:
Microsoft Excel (Computer file)
Microsoft Visual Basic for applications
Subject Term
:
Credit -- Management.
Risk management.
Added Author
:
Posch, Peter N.
Electronic Access
:
| Library | Material Type | Item Barcode | Shelf Number | Copy |
|---|
| IIEMSA | General Books | 33168023698455 | 332.70285554 L828C 2007 | 1 |