Credit risk modeling using Excel and VBA /
Löffler, Gunter(Gunter Johannes)
Posch, Peter N.
Chichester, England ; Hoboken, NJ : Wiley,
c2007.
Includes bibliographical references and index.
Estimating credit scores with Logit -- The structural approach to default prediction and valuation -- Transition matrices -- Prediction of default and transition rates -- Modeling and estimating default correlations with the asset value approach -- Measuring credit portfolio risk with the asset value approach -- Validation of rating systems -- Validation of credit portfolio models -- Risk-neutral default probabilities and credit default swaps -- Risk analysis of structured credit : CDOs and first-to-default swaps -- Basel II and internal ratings.
Microsoft Excel (Computer file)
Microsoft Visual Basic for applications.
Credit
Risk management.
Accompanying disc is available for use on a standalone workstation within the library for single users. Disc will require installation.