Credit Risk Modeling using Excel and VBA 2nd Edition by Gunter Löeffler and Peter N Posch offers practitioners and college students with introduction to fashionable credit risk modeling. The authors start each chapter with an accessible presentation of a given methodology, earlier than offering step-by-step information to implementation methods in Excel and Visible Primary for Purposes (VBA).
The book covers default probability estimation (scoring, structural models, and transition matrices), correlation and portfolio evaluation, validation, in addition to credit default swaps and structured finance. Several appendices and videos increase ease of access.
Authors present the way to estimate and interpret a logit model. We then talk about important issues that arise in sensible purposes, particularly the therapy of outliers and the selection of useful relationship between variables and default.
The book contains new coverage of the vital problem of how parameter uncertainty might be handled within the estimation of portfolio risk, as well as comprehensive new sections on the pricing of CFSs and CDOs, and a chapter on predicting borrower-particular loss given default with regression models. In all, the authors present a host of functions – a lot of which transcend customary Excel or VBA usages, for instance, the best way to estimate logit models with most likelihood, or easy methods to rapidly conduct giant-scale Monte Carlo simulations.
Clearly written with a multitude of practical examples, the book will show an indispensable useful resource for anybody working in, studying or researching this necessary field. Authors provide all that is needed to put in a state-of-the-art risk management system, including a broad understanding of various risk management frameworks, detailed estimation techniques for deriving PD, LGD, and correlation parameters, and programming tools for putting the methods into practice.
Credit Risk Modeling using Excel and VBA (The Wiley Finance Series) [Hardcover]
Gunter Löeffler and Peter N Posch
Wiley; 2 edition (February 8, 2011)
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