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Credit Risk Modeling using Excel and VBA: 2nd Edition

Credit Risk Modeling using Excel and VBA: 2nd Edition

by Gunter Loeffler, Peter N. Posch

Editorial: Wiley, John & Sons, Incorporated
ISBN: 9780470660928
Número de páginas: 360
Formatos: pdf, ePub, mobi, fb2
Tamaño de archivo: 9 Mb
Fecha de publicación: 2020-08-05
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Descripción

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 ...