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Record Nr. |
UNINA9910141313203321 |
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Autore |
Löffler Gunter |
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Titolo |
Credit risk modeling using Excel and VBA with DVD |
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Pubbl/distr/stampa |
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[Place of publication not identified], : Wiley, 2011 |
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ISBN |
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Edizione |
[2nd ed.] |
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Descrizione fisica |
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1 online resource (xiv, 342 p.) : ill |
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Collana |
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Disciplina |
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Soggetti |
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Credit - Management |
Credit - Management - Mathematical models |
Risk management - Mathematical models |
Risk management - Computer programs |
Electronic spreadsheets |
Finance |
Business & Economics |
Credit, Debt & Loans |
Electronic books. |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Bibliographic Level Mode of Issuance: Monograph |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Sommario/riassunto |
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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 |
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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. "The ebook version does not provide access to the companion files". |
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