Brand New, Unread Copy in Perfect Condition. A+ Customer Service! Summary: Preface. Some Hints for Troubleshooting. 1 Estimating Credit Scores with Logit. Linking scores, default probabilities and observed default behavior. Estimating logit coefficients in Excel. Computing statistics after model estimation. Interpreting regression statistics. Prediction and scenario analysis. Treating outliers in input variables. Choosing the functional relationship between the score and explanatory variables. Concluding remarks. Appendix. Notes and literature. 2 The Structural Approach to Default Prediction and Valuation. Default and valuation in a structural model. Implementing the Merton model with a one-year horizon. The iterative approach. A solution using equity values and equity volatilities. Comparing different approaches. Implementing the Merton model with a T-year horizon. Credit spreads. Notes and literature. 3 Transition Matrices. Cohort approach. Multi-period transitions. Hazard rate approach. Obtaining a generator matrix from a given transition matrix. Confidence intervals with the Binomial distribution. Bootstrapped confidence intervals for the hazard approach. Notes and literature. Appendix. 4 Prediction of Default and Transition Rates. Candidate variables for prediction. Predicting investment-grade default rates with linear regression. Predicting investment-grade default rates with Poisson regression. Backtesting the prediction models. Predicting transition matrices. Adjusting transition matrices. Representing transition matrices with a single parameter. Shifting the transition matrix. Backtesting the transition forecasts. Scope of application. Notes and literature. Appendix. 5 Modeling and Estimating Default Correlations with the Asset Value Approach. Default correlation, joint default probabilities and the asset value approach. Calibrating the asset value approach to default experience: the method of moments. Estimating asset correlation with maximum likelihood. Exploring the reliability of estimators with a Monte Carlo study. Concluding remarks. Notes and literature. 6 Measuring Credit Portfolio Risk with the Asset Value Approach. A default mode model implemented in the spreadsheet. VBA implementation of a default-mode model. Importance sampling. Quasi Monte Carlo. Assessing simulation error. Exploiting portfolio structure in the VBA program. First extension: Multi-factor model. Second extension: t-distributed asset values. Third extension: Random LGDs. Fourth extension: Other risk measures. Fifth extension: Multi-state modeling. Notes and literature. 7 Validation of Rating Systems. Cumulative accuracy profile and accuracy ratios. Receiver operating characteristic (ROC). Bootstrapping confidence intervals for the accuracy ratio. Interpreting CAPs and ROCs. Brier Score. Testing the calibration of rating-specific default probabilities. Validation strategies. Notes and literature. 8 Validation of Credit Portfolio Models. Testing distributions with the Berkowitz test. Example implementation of the Berkowitz test. Representing the loss distribution. Simulating the critical chi-squared value. Testing modeling details: Berkowitz on subportfolios. Assessing power. Scope and limits of the test. Notes and literature. 9 Risk-Neutral Default Probabilities and Credit Default Swaps. Describi. Buchnummer des Verkäufers
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.
Klappentext: 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
Buchbeschreibung Wiley, 2007. Buchzustand: Good. Har/DVD. N/A. Shows some signs of wear, and may have some markings on the inside. Buchnummer des Verkäufers GRP92387840
Buchbeschreibung Wiley, 2007. Buchzustand: Good. Har/DVD. N/A. Former Library book. Shows some signs of wear, and may have some markings on the inside. Buchnummer des Verkäufers GRP92524182
Buchbeschreibung John Wiley & Sons. Buchzustand: Good. Ex-library, so some stamps and wear, and may have sticker on cover, but in good overall condition. Buchnummer des Verkäufers Z1-E-024-01076
Buchbeschreibung Wiley, 2007. Hardcover. Buchzustand: Acceptable. No DVD. AL 3/15 Item is intact, but may show shelf wear. Pages may include notes and highlighting. May or may not include supplemental or companion material. Access codes may or may not work. Connecting readers since 1972. Customer service is our top priority. Buchnummer des Verkäufers mon0000926494
Buchbeschreibung Wiley, 2007. Hardcover. Buchzustand: Good. Item may show signs of shelf wear. Pages may include limited notes and highlighting. Includes supplemental or companion materials if applicable. Access codes may or may not work. Connecting readers since 1972. Customer service is our top priority. Buchnummer des Verkäufers mon0000549299
Buchbeschreibung Wiley, 2007. Hardcover. Buchzustand: Used: Very Good. Buchnummer des Verkäufers SONG0470031573
Buchbeschreibung Wiley 2007-06-05, 2007. Hardcover. Buchzustand: good. Har/DVD. 0470031573. Buchnummer des Verkäufers 545902
Buchbeschreibung Wiley, 2007. Hardcover. Buchzustand: Good. Good condition, some are ex-library and can have markings. Buchnummer des Verkäufers GD-151-37-5864405
Buchbeschreibung Buchzustand: Good. Book Condition: Good. Buchnummer des Verkäufers 97804700315754.0
Buchbeschreibung Wiley, 2007. Hardcover. Buchzustand: Very Good. Very good. Buchnummer des Verkäufers HH-151-37-5864405