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Product Description
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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 CFSs 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.
Praise for the first edition
“In one place, Löffler and Posch provide all that is needed to install a state–of–the–art risk management system, including a broad understanding of different risk management frameworks, detailed estimation techniques for dertiving PD, LGD, and correlation parameters, and programming tools for putting thesr methods into practice.” – Richard Cantor, Chief Credit Officer, Moody’s Investor Service
From the Inside Flap
“I read this book cover–to–cover and recommend it heartily. For each topic, there is straightforward explanation, practical examples, and implementable coding. This book would have saved me months of effort many times over with its full ‘toolset’ of Excel/VBA code. I have immediate plans to reread sections and incorporate sections of code into my own spreadsheets.” – Greg M. Gupton, Founder and Director, DefaultRisk.com
Praise for the second edition
“This is a very useful book. It provides incisive basic background knowledge on modeling for key credit risk topics, including a new chapter on loss given default prediction, and the coding examples help to deepen the readers’ understanding and can be used as the basis for more advanced approaches, possibly with more powerful tools.” – Dirk Tasche, Senior Risk Advisor, Lloyds Banking Group
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