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Credit Risk Modeling using Excel and VBA

Credit Risk Modeling using Excel and VBA

by Gunter Loeeffler and Peter N. Posch
Hardback
Publication Date: 17/12/2010

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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, http://loeffler-posch.com/, which has been specially updated for this Second Edition and contains slides and exercises for lecturers.
ISBN:
9780470660928
9780470660928
Category:
Credit & credit institutions
Format:
Hardback
Publication Date:
17-12-2010
Language:
English
Publisher:
John Wiley & Sons Inc
Country of origin:
United States
Edition:
2nd Edition
Pages:
368
Dimensions (mm):
249x165x23mm
Weight:
0.79kg

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