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CREDIT RISK MODELING USING EXCEL AND VBA

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, https://creditriskmodeling.wordpress.com/, which has been specially updated for this Second Edition and contains slides and exercises for lecturers.

Availability
10001857332.702 8 LOF c 2ndRLC MM (Rak Buku Umum)Available
Detail Information
Series Title
-
Statement of Responsibility
Call Number
332.702 8 LOF c 2nd
Publisher
New York : John Wiley & Sons.,
Collation
xiv 342p. : ill ; 25 cm.
Language
English
ISBN/ISSN
978-0-470-66092-8
Classification
332.702 8
Content Type
-
Edition
2nd. ed.
Subject(s)
Buku Umum
Management Risk
Microsoft Excel (Computer File)
Credit Management
Visual Basic for Applications (VBA)
Specific Detail Info
-
Other version/related

No other version available

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