Credit Risk Modeling Using Excel and VBA (Wiley Finance Series) - Hardcover

Loeffler, Gunther; Posch, Peter N.

Hardcover

ISBN 10: 0470031573 ISBN 13: 9780470031575

Verlag: John Wiley & Sons Ltd, 2007

Inhaltsangabe

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.

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Über die Autorin bzw. den Autor

GUNTER LOFFLER 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 PhD student in finance at the chair of Gunter Loffler. His current research focus is on credit risk and financial econometrics. Peter studied philosophy and economics and holds a Diplom, M.Sc. equivalent, in economics from the University of Bonn.

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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 ease of access.

The authors present a host of applications many of which go beyond standard Excel or VBA usages. For example, they show how to estimate logit models with maximum likelihood, or how to conduct large-scale Monte Carlo simulations in little time. Even to experienced modelers the book can serve as a toolbox and source of inspiration.

"In one place, Löffler and Posch provide all that is needed to install state-of-the-art risk management system, including a broad understanding of different risk management frameworks, detailed estimation techniques for deriving PD, LGD, and correlation parameters, and programing tools for putting these methods into practice."
Richard Cantor, Managing Director, Credit Policy Research, Moody s Investors Service

"I read this book cover-to-cover and recommend it heartily. For each topic, there is straightforward explanation, practical examples, and implementable coding. This book would have saved me months of effort many times over with its full toolset of Excel/VBA code. I have immediate plans to reread sections and incorporate sections of code into my own spreadsheets."
Greg M. Gupton, Fitch Ratings & DefaultRisk.com

Aus dem Klappentext

Credit risk modelling using Excel and VBA

Details zur Ausgabe

• Verlag: John Wiley & Sons Ltd
• Erscheinungsdatum: 2007
• ISBN 10: 0470031573
• ISBN 13: 9780470031575
• Einband: Tapa dura
• Sprache: Englisch
• Anzahl der Seiten: 280
• Kontakt zum Hersteller: Nicht verfügbar