Credit Risk Modeling using Excel and VBA (The Wiley Finance Series)

Credit Risk Modeling using Excel and VBA (The Wiley Finance Series)

This book provides practitioners and students with a hands-on introduction to<br />modern credit risk modeling. The authors begin each chapter with an accessible<br />presentation of a given methodology, before providing a step-by-step guide to<br />implementation methods in Excel and Visual Basic for Applications (VBA).<br />The book covers default probability estimation (scoring, structural models,<br />and transition matrices), correlation and portfolio analysis, validation, as well<br />as credit default swaps and structured finance. Several appendices and videos<br />increase ease of access.<br />The second edition includes new coverage of the important issue of how<br />parameter uncertainty can be dealt with in the estimation of portfolio risk, as<br />well as comprehensive new sections on the pricing of CDSs and CDOs, and<br />a chapter on predicting borrower-specific loss given default with regression<br />models. In all, the authors present a host of applications - many of which<br />go beyond standard Excel or VBA usages, for example, how to estimate logit<br />models with maximum likelihood, or how to quickly conduct large-scale Monte<br />Carlo simulations.<br />Clearly written with a multitude of practical examples, the new edition of<br />Credit Risk Modeling using Excel and VBA will prove an indispensible resource<br />for anyone working in, studying or researching this important field.<br /><br />DVD content has moved online. Get access to this content by going to booksupport.wiley.com and typing in the ISBN-13