Löeffler / Posch Credit Risk Modeling using Excel and VBA

1. Auflage 2007
ISBN: 978-0-470-51074-2
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 280 Seiten, E-Book

Reihe: Wiley Finance Series

In today's increasingly competitive financial world, successfulrisk management, portfolio management, and financial structuringdemand more than up-to-date financial know-how. They also call forquantitative expertise, including the ability to effectively applymathematical modeling tools and techniques, in this case credit.
Credit Risk Modeling using Excel and VBA with DVDprovides practitioners with a hands on introduction to credit riskmodeling. Instead of just presenting analytical methods itshows how to implement them using Excel and VBA, in addition to adetailed description in the text a DVD guides readers step by stepthrough the implementation. The authors begin by showing howto use option theoretic and statistical models to estimate aborrowers default risk. The second half of the book isdevoted to credit portfolio risk. The authors guide readersthrough the implementation of a credit risk model, show howportfolio models can be validated or used to access structuredcredit products like CDO's. The final chapters addressmodeling issues associated with the new Basel Accord.

Autoren/Hrsg.

Löeffler, Gunter

Posch, Peter N.

Über Autor(innen)

GUNTER LÖFFLER is professor of finance at theUniversity of Ulm in Germany. His current research interests are oncredit risk and empirical finance. Previously, Gunter was assistantprofessor at Goethe University Frankfurt, and served as an internalconsultant in the asset management division of Commerzbank. HisPh.D. in finance is from the University of Mannheim. Gunter hasstudied at Heidelberg and Cambridge Universities.
PETER N. POSCH is PhD student in finance at the chair ofGunter Löffler. His current research focus is on credit riskand financial econometrics. Peter studied philosophy and economicsand holds a Diplom, M.Sc. equivalent, in economics from theUniversity of Bonn.