β Scribed by Gunter LΓΆeffler, Peter N. Posch
No coin nor oath required. For personal study only.
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.
DVD content has moved online. Get access to this content by going to booksupport.wiley.com and typing in the ISBN-13
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π SIMILAR VOLUMES
Though i am not an Excel expert, this book is quite helpful in constructing models. Thanks to Wiley Finance and Amazon.
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 techn
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 techn
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 techn
This book is an introduction to modern credit risk methodology as well a cookbook for putting credit risk models to work. We hope that the two purposes go together well. From our own experience, analytical methods are best understood by implementing them.<div class="bb-sep"></div>Credit risk literat
I bought this book a month ago. Two authors explained everything in much easier manner using excel spreadsheet. However, they should have added additional materials on topics related to CDOs and CDS.