Credit Risk Modeling Using Excel and VBA

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9780470660928: 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, http://loeffler-posch.com/, which has been specially updated for this Second Edition and contains slides and exercises for lecturers.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

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L?effler, Gunter
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ISBN 10: 0470660929 ISBN 13: 9780470660928
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Descrizione libro John Wiley & Sons, Limited. Condizione libro: Brand New. Ships SAME or NEXT business day. We Ship to APO/FPO addr. Choose EXPEDITED shipping and receive in 2-5 business days within the United States. See our member profile for customer support contact info. We have an easy return policy. Codice libro della libreria 42869203

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Descrizione libro Condizione libro: New. Brand New. US Edition Book. We do not ship to Military Addresses. Fast Shipping with Order Tracking. For Standard Shipping 7-8 business days & Expedite Shipping 4-6 business days, after shipping. Codice libro della libreria 0470660929-RMX

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Gunter Löeffler; Peter N. Posch
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Descrizione libro Wiley, 2011. Hardcover. Condizione libro: New. Codice libro della libreria SONG0470660929

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Descrizione libro John Wiley & Sons, Limited. Condizione libro: Brand New. Dispatch Same Working Day, (Delivery 2-4 business days, Courier For Heavy/Expensive Items) Money Back Guarantee, 99.3% Customer Satisfaction, Prompt Customer Service. Codice libro della libreria 39556742

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Descrizione libro John Wiley & Sons, Limited. Condizione libro: Brand New. Codice libro della libreria 41775838

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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2011. Hardback. Condizione libro: New. 2nd Revised edition. 250 x 174 mm. Language: English . Brand New Book. 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, which has been specially updated for this Second Edition and contains slides and exercises for lecturers. Codice libro della libreria AAH9780470660928

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Gunther Loeffler, Peter N. Posch
Editore: John Wiley and Sons Ltd, United Kingdom (2011)
ISBN 10: 0470660929 ISBN 13: 9780470660928
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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2011. Hardback. Condizione libro: New. 2nd Revised edition. 250 x 174 mm. Language: English . Brand New Book. 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, which has been specially updated for this Second Edition and contains slides and exercises for lecturers. Codice libro della libreria AAH9780470660928

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Descrizione libro John Wiley and#38; Sons, 2010. HRD. Condizione libro: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Codice libro della libreria FW-9780470660928

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Descrizione libro John Wiley and#38; Sons, 2010. HRD. Condizione libro: New. New Book.Shipped from US within 10 to 14 business days.THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Codice libro della libreria IP-9780470660928

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Descrizione libro Wiley, 2011. Hardcover. Condizione libro: New. book. Codice libro della libreria 0470660929

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