Credit Risk Modeling using Excel and VBA (The Wiley Finance Series)
Language: English
Published by Wiley, 2011
- Hardcover
- New
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- Title
- Credit Risk Modeling using Excel and VBA (The Wiley Finance Series)
- Author
- LÃ effler, Gunter
- Publisher
- Wiley
- Publication year
- 2011
- Condition
- new
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 0470660929
- ISBN 13
- 9780470660928
- Edition
- 2nd Edition
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, https://creditriskmodeling.wordpress.com/, which has been specially updated for this Second Edition and contains slides and exercises for lecturers.
"Synopsis" may belong to another edition of this title.
About the Author
About the authors
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 Commerzbank. 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.
"About the title" may belong to another edition of this title.
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