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This book provides practitioners and students with a hands-on introduction to
modern credit risk modeling. The authors begin each chapter with an accessible
presentation of a given methodology, before providing a step-by-step guide to
implementation methods in Excel and Visual Basic for Applications (VBA).
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 second edition includes new coverage of the important issue of how
parameter uncertainty can be dealt with in the estimation of portfolio risk, as
well as comprehensive new sections on the pricing of CDSs and CDOs, and
a chapter on predicting borrower-specific loss given default with regression
models. In all, the authors present a host of applications - many of which
go beyond standard Excel or VBA usages, for example, how to estimate logit
models with maximum likelihood, or how to quickly conduct large-scale Monte
Carlo simulations.
Clearly written with a multitude of practical examples, the new edition of
Credit Risk Modeling using Excel and VBA will prove an indispensible resource
for anyone working in, studying or researching this important field.
DVD content has moved online. Get access to this content by going to booksupport.wiley.com and typing in the ISBN-13
- Sales Rank: #208980 in Books
- Published on: 2011-01-31
- Original language: English
- Number of items: 1
- Dimensions: 9.80" h x .90" w x 6.50" l, 1.67 pounds
- Binding: Hardcover
- 358 pages
From the Author
Additional material, including slide sets and exercises for lecturers, is available on our homepage loeffler-posch.com.
From the Inside Flap
Further praise for the first edition
"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, Founder and Director,
DefaultRisk.com
Praise for the second edition
"This is a very useful book. It provides incisive basic
background knowledge on modelling for key credit
risk topics, including a new chapter on loss given
default prediction, and the coding examples help to
deepen the readers' understanding and can be used
as the basis for more advanced approaches, possibly
with more powerful tools."
Dirk Tasche, Senior Risk Advisor, Lloyds
From the Back Cover
This book provides practitioners and students with a hands-on introduction to
modern credit risk modeling. The authors begin each chapter with an accessible
presentation of a given methodology, before providing a step-by-step guide to
implementation methods in Excel and Visual Basic for Applications (VBA).
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 second edition includes new coverage of the important issue of how
parameter uncertainty can be dealt with in the estimation of portfolio risk, as
well as comprehensive new sections on the pricing of CDSs and CDOs, and
a chapter on predicting borrower-specific loss given default with regression
models. In all, the authors present a host of applications - many of which
go beyond standard Excel or VBA usages, for example, how to estimate logit
models with maximum likelihood, or how to quickly conduct large-scale Monte
Carlo simulations.
Clearly written with a multitude of practical examples, the new edition of
Credit Risk Modeling using Excel and VBA will prove an indispensible resource
for anyone working in, studying or researching this important field.
"In one place, Löffler and Posch provide all that is needed to install a 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 programming tools for putting these methods into practice."
Richard Cantor, Chief Credit Officer, Moody's Investors Service
Most helpful customer reviews
4 of 4 people found the following review helpful.
RISK
By DANY
It's a very good book. Credit risk scoring and another analysis is very interesting. It's help me very much.
Programs of the book is not difficult.
2 of 2 people found the following review helpful.
Practical, but not superficial
By E. Chen
Clearly, Excel is not even remotely the best platform to perform large scale credit risk modeling or analysis. However, Excel is probably the most concise, neutral platform from which to demonstrate the techniques involved in implementing the models discussed in the book.
** Note, please do not rely on this book as your main source for learning the mathematical and economical nuances of these models.
2 of 2 people found the following review helpful.
A very good book. Rich in theory and application
By Mohammad
A very good book. Rich in theory and application. Very useful for people who study finance or fields that are related to risk analysis. Adequate training in mathematics, statistics and VBA code is essential.
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