Credit risk modeling using Excel and VBA
By: Gunter Loeffler, Peter N. Posch.
Contributors: Posch, Peter N.
Publisher: Wiley
Published: 2007
Place of publication: Hoboken, NJ
Language: eng
Number of pages: 261
ISBN-13: 9780470031575
Subjects: Microsoft Excel (Computer file); Microsoft Visual Basic for applications; Credit -- Management; Risk management
Notes: Includes bibliographical references and index.
Table of contents: title: Estimating credit scores with logit; title: The structural approach to default prediction and valuation; title: Transition matrices; title: Prediction of default and transition rates; title: Modeling and estimating default correlations with the asset value approach; title: Measuring credit portfolio risk with the asset value approach; title: Validation of rating systems; title: Validation of credit portfolio models; title: Risk-neutral default probabilities and credit default swaps; title: Risk analysis of structured credit : CDOs and first-to-default swaps; title: Basel II and internal ratings.