- Hardcover: 280 pages
- Publisher: John Wiley & Sons; Har/DVD edition (4 April 2007)
- Language English
- ISBN-10: 0470031573
- ISBN-13: 978-0470031575
- Product Dimensions: 25 x 17.6 x 2.6 cm
- Average Customer Review: 4.8 out of 5 stars See all reviews (4 customer reviews)
- Amazon Bestsellers Rank: 438,515 in Books (See Top 100 in Books)
- See Complete Table of Contents
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Product Description
Product Description
In today′s increasingly competitive financial world, successful risk management, portfolio management, and financial structuring demand more than up–to–date financial know–how. They also call for quantitative expertise, including the ability to effectively apply mathematical modeling tools and techniques, in this case credit.
Credit Risk Modeling using Excel and VBA with DVD provides practitioners with a hands on introduction to credit risk modeling. Instead of just presenting analytical methods it shows how to implement them using Excel and VBA, in addition to a detailed description in the text a DVD guides readers step by step through the implementation. The authors begin by showing how to use option theoretic and statistical models to estimate a borrowers default risk. The second half of the book is devoted to credit portfolio risk. The authors guide readers through the implementation of a credit risk model, show how portfolio models can be validated or used to access structured credit products like CDO’s. The final chapters address modeling issues associated with the new Basel Accord.
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Credit risk modelling using Excel and VBA
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Most Helpful Customer Reviews
4 of 4 people found the following review helpful:
5.0 out of 5 stars
Practical and to the point,
By
This review is from: Credit Risk Modeling Using Excel and VBA (The Wiley Finance Series) (Hardcover)
The book does what it says on the cover (which can not be said for all the books that are out there) it shows how to model credit risk using excel and VBA. The authors also go into modeling CDS (Credit Default Swaps) and CDO's (Collateralized Debt Obligations) using Monte Carlo Simulations. Although they authors stress that this is not the purpose of the book I would have appreciated if there was also code in how to price CDO's using Copulas. The book contains all the Excel and VBA files in the DVD disk that accompanies this book and even video files in which the authors show how to write quick and efficient code and how to use some of the excel files. I whole heartedly recommend this book.
5.0 out of 5 stars
Very Good Introduction,
By
This review is from: Credit Risk Modeling Using Excel and VBA (The Wiley Finance Series) (Hardcover)
This book is great for getting up to speed quickly on such topics as deriving transition matrices from rating data. It is very practical and the VBA should help those who need to implement solutions in the areas covered by the book.
5.0 out of 5 stars
Very Usefull,
By
This review is from: Credit Risk Modeling Using Excel and VBA (The Wiley Finance Series) (Hardcover)
Along with the CD, this book gives a great insight on modern credit risk analysis. In depth analysis is provided on most topics.
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