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    Credit Risk Modeling using Excel and VBA, 2 edition

    Posted By: interes
    Credit Risk Modeling using Excel and VBA, 2 edition

    Credit Risk Modeling using Excel and VBA, 2 edition by Gunter Löeffler and Peter N. Posch
    English | 2011 | ISBN: 0470660929 | 358 pages | PDF | 8 MB

    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 indispensible resource
    for anyone working in, studying or researching this important field.



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