Credit Risk Modeling Using Excel And Vba 2E +Cd 9780470660928
作者: Peter N. Posch 著
出版社:Wiley 2011年2月
简介:This book provides practitioners and students with a hands-onintroduction tomodern credit risk modeling. The authors begin eachchapter with an accessiblepresentation of a given methodology,before providing a step-by-step guide toimplementation methods inExcel and Visual Basic for Applications (VBA).The book coversdefault probability estimation (scoring, structural models,andtransition matrices), correlation and portfolio analysis,validation, as wellas credit default swaps and structured finance.Several appendices and videosincrease ease of access.The second edition includes new coverage of the important issue ofhowparameter uncertainty can be dealt with in the estimation ofportfolio risk, aswell as comprehensive new sections on the pricingof CDSs and CDOs, anda chapter on predicting borrower-specific lossgiven default with regressionmodels. In all, the authors present ahost of applications - many of whichgo beyond standard Excel or VBAusages, for example, how to estimate logitmodels with maximumlikelihood, or how to quickly conduct large-scale MonteCarlosimulations.Clearly written with a multitude of practical examples, the newedition ofCredit Risk Modeling using Excel and VBA will prove anindispensible resourcefor anyone working in, studying orresearching this important field.