Credit Risk Modeling using Excel and VBA, 2/e (Hardcover)

Gunter Löeffler, Peter N. Posch

  • 出版商: Wiley
  • 出版日期: 2011-01-31
  • 售價: $3,760
  • 貴賓價: 9.5$3,572
  • 語言: 英文
  • 頁數: 358
  • 裝訂: Hardcover
  • ISBN: 0470660929
  • ISBN-13: 9780470660928
  • 相關分類: Excel
  • 立即出貨 (庫存=1)

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商品描述

This book provides practitioners and students with a hands-on introduction to
modern credit risk modeling. The authors begin each chapter with an accessible
presentation of a given methodology, before providing a step-by-step guide to
implementation methods in Excel and Visual Basic for Applications (VBA).
The book covers default probability estimation (scoring, structural models,
and transition matrices), correlation and portfolio analysis, validation, as well
as credit default swaps and structured finance. Several appendices and videos
increase ease of access.
The second edition includes new coverage of the important issue of how
parameter uncertainty can be dealt with in the estimation of portfolio risk, as
well as comprehensive new sections on the pricing of CDSs and CDOs, and
a chapter on predicting borrower-specific loss given default with regression
models. In all, the authors present a host of applications - many of which
go beyond standard Excel or VBA usages, for example, how to estimate logit
models with maximum likelihood, or how to quickly conduct large-scale Monte
Carlo simulations.
Clearly written with a multitude of practical examples, the new edition of
Credit Risk Modeling using Excel and VBA will prove an indispensible resource
for anyone working in, studying or researching this important field.

商品描述(中文翻譯)

本書為從業人員和學生提供了一個實踐性的現代信用風險建模入門。作者在每一章節開始時以易於理解的方式介紹一個特定的方法論,然後提供了在Excel和Visual Basic for Applications(VBA)中實施方法的逐步指南。本書涵蓋了違約概率估計(評分、結構模型和轉換矩陣)、相關性和投資組合分析、驗證,以及信用違約掉期和結構化金融。幾個附錄和視頻增加了使用的便利性。第二版新增了對如何處理參數不確定性在投資組合風險估計中的重要問題的涵蓋,以及對CDS和CDO定價的全面新章節,以及一個關於使用回歸模型預測特定借款人違約損失的章節。總之,作者提供了許多應用案例 - 其中許多超出了標準的Excel或VBA用法,例如如何使用最大概似法估計logit模型,或如何快速進行大規模的蒙特卡羅模擬。這本新版《使用Excel和VBA進行信用風險建模》以明確的寫作風格和大量實際例子,將成為在這一重要領域工作、學習或研究的人們的不可或缺的資源。