Description
Book Synopsis: 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 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 indispensable resource for anyone working in, studying, or researching this important field.
DVD content has moved online. Get access to this content by going to booksupport.wiley.com and typing in the ISBN-13
Details
Looking to enhance your credit risk modeling skills? Look no further! Introducing Credit Risk Modeling using Excel and VBA, the ultimate guide that takes you from theory to practical implementation. Whether you're a practitioner or a student, this book is your ticket to success. Learn the ins and outs of default probability estimation, correlation analysis, portfolio assessment, and validation techniques - all using Excel and VBA. With step-by-step instructions and clear explanations, you'll be able to master complex concepts with ease.
But that's not all. The second edition of Credit Risk Modeling using Excel and VBA brings even more value to the table. Gain insight into handling parameter uncertainty in portfolio risk estimation. Explore the pricing of credit default swaps and collateralized debt obligations. And delve into borrower-specific loss prediction using regression models. With the authors' wealth of real-world applications, you'll go beyond the limitations of standard Excel or VBA usage.
Credit Risk Modeling using Excel and VBA is your one-stop resource for all things credit risk. Don't miss out on this invaluable guide that will elevate your career or studies in this crucial field. For additional support, access the online DVD content by visiting booksupport.wiley.com and typing in the ISBN-13. Take control of your credit risk modeling journey today!
Click here to get your copy of Credit Risk Modeling using Excel and VBA and unlock the secrets to mastering credit risk modeling.
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