Credit Risk Modeling using Excel and VBA: 2nd Edition

Credit Risk Modeling using Excel and VBA: 2nd Edition

by Gunter Loeffler, Peter N. Posch
     
 

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

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Overview

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, http://loeffler-posch.com/, which has been specially updated for this Second Edition and contains slides and exercises for lecturers.

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Product Details

ISBN-13:
9780470660928
Publisher:
Wiley
Publication date:
02/22/2011
Series:
Wiley Finance Series
Pages:
358
Sales rank:
894,815
Product dimensions:
6.90(w) x 9.60(h) x 1.20(d)

Meet the Author

Gunter Löffler is Professor of Finance at the University of Ulm in Germany. His current research interests are on credit risk and empirical finance. Previously, Gunter was Assistant Professor at Goethe University Frankfurt, and served as an internal consultant in the asset management division of Commerzbnk, His Ph.D. in finance is from the University of Mannheim. Gunter has studied at Heidelberg and Cambridge Universities.

Peter N. Posch is Assistant Professor of Finance at the University of Ulm in Germany. Previously Peter was co-head of credit treasury at a large bank, where he also traded credit derivatives and other fixed income products for the bank’s proprietary books. His Ph.D. in finance on the dynamics of credit risk is from the University of Ulm. Peter has studied economics, philosophy and law at the University of Bonn.

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