Credit Risk Modeling using Excel and VBA, 2nd Edition - Image 1

£66.45

Wiley Credit Risk Modeling using Excel and VBA, 2nd Edition

Name: Credit Risk Modeling using Excel and VBA, 2nd Edition
Brand: Wiley
Price: 66.45 GBP
Availability: InStock

31187299

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Description

It is common to blame the inadequacy of credit risk models for the fact that the financial crisis has caught many market participants by surprise. On closer inspection, though, it often appears that market participants failed to understand or to use the models correctly. The recent events therefore do not invalidate traditional credit risk modeling as described in the first edition of the book. A second edition is timely, however, because the first dealt relatively briefly with instruments featuring prominently in the crisis (CDSs and CDOs). In addition to expanding the coverage of these instruments, the book will focus on modeling aspects which were of particular relevance in the financial crisis (e.g. estimation error) and demonstrate the usefulness of credit risk modelling through case studies. This book provides practitioners and students with an intuitive, hands-on introduction to modern credit risk modelling. Every chapter starts with an explanation of the methodology and then the authors take the reader step by step through the implementation of the methods in Excel and VBA. They focus specifically on risk management issues and cover default probability estimation (scoring, structural models, and transition matrices), correlation and portfolio analysis, validation, as well as credit default swaps and structured finance. The book has an accompanying website, https://creditriskmodeling.wordpress.com/, which has been specially updated for this Second Edition and contains slides and exercises for lecturers.

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Product Specifications

Brand: Wiley
Model: 31187299
Format: hardcover
ASIN: 0470660929
Category: Books > Subjects > Business, Finance & Law > Professional Finance > Insurance
Domain: Amazon UK
Release Date: 17 December 2010
Listed Since: 28 October 2009

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Wiley Credit Risk Modeling using Excel and VBA, 2nd Edition

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