Credit Risk Modeling using Excel and VBA: with DVD (Wiley Finance) - Hardcover

Loeffler, Gunter; Posch, Peter N.

 
9780470031575: Credit Risk Modeling using Excel and VBA: with DVD (Wiley Finance)
Hardcover
ISBN 10: 0470031573 ISBN 13: 9780470031575
Verlag: John Wiley & Sons, 2007

Inhaltsangabe

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

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Über die Autorin bzw. den Autor

GUNTER LÖFFLER 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 Löffler. 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.

Von der hinteren Coverseite

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

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Verlag
John Wiley & Sons
Erscheinungsdatum
2007
Sprache
Englisch
ISBN 10 
0470031573
ISBN 13 
9780470031575
Einband
Gebundene Ausgabe
Auflage
1
Anzahl der Seiten
280
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
Nicht verfügbar