Credit risk modeling using Excel and VBA

Select an Action

Title:

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:

Access full text
Publisher description http://www.loc.gov/catdir/enhancements/fy0741/2007002347-d.html
Contributor biographical information http://www.loc.gov/catdir/enhancements/fy0741/2007002347-b.html
Table of contents only http://www.loc.gov/catdir/toc/ecip079/2007002347.html

Copies:

Available:*

Library	Material Type	Item Barcode	Shelf Number	Copy	Status
Searching... 1:IIEMSA	1:GEN-BOOK	33168023698455	332.70285554 L828C 2007	1	Searching... Unknown

Bound With These Titles

On Order

Summary

In today's increasingly competitive financial world, successful risk management, portfolio management, and financial structuring demand more than up-to-date financial know-how. They also call for quantitative expertise, including the ability to effectively apply mathematical modeling tools and techniques, in this case credit.

Credit Risk Modeling using Excel and VBA with DVD provides practitioners with a hands on introduction to credit risk modeling. Instead of just presenting analytical methods it shows how to implement them using Excel and VBA, in addition to a detailed description in the text a DVD guides readers step by step through the implementation. The authors begin by showing how to use option theoretic and statistical models to estimate a borrowers default risk. The second half of the book is devoted to credit portfolio risk. The authors guide readers through the implementation of a credit risk model, show how portfolio models can be validated or used to access structured credit products like CDO's. The final chapters address modeling issues associated with the new Basel Accord.