作者：Gunter Loeffler, Peter N. Posch
出版日期：June 4, 2007
出版社：Wiley Publishing
页数：280
ISBN：ISBN-10: 0470031573 ISBN-13: 978-0470031575
文件格式：PDF


Product Description
In today’s increasingly competitive financial world, successful riskmanagement, portfolio management, and financial structuring demand morethan up-to-date financial know-how. They also call for quantitativeexpertise, including the ability to effectively apply mathematicalmodeling tools and techniques, in this case credit. Credit Risk Modeling using Excel and VBA with DVDprovides practitioners with a hands on introduction to credit riskmodeling. Instead of just presenting analytical methods it shows howto implement them using Excel and VBA, in addition to a detaileddescription in the text a DVD guides readers step by step through theimplementation. The authors begin by showing how to use optiontheoretic and statistical models to estimate a borrowers default risk. The second half of the book is devoted to credit portfolio risk. Theauthors guide readers through the implementation of a credit riskmodel, show how portfolio models can be validated or used to accessstructured credit products like CDO’s. The final chapters addressmodeling issues associated with the new Basel Accord.
From the Inside Flap
Credit risk modelling using Excel and VBA