Credit Risk Modeling using Excel and VBA (eBook)

Peter N. Posch, Gunter L effler (Autoren)

eBook Download: PDF

2007 | 1. Auflage
280 Seiten
Wiley (Verlag)
978-0-470-51074-2 (ISBN)

Infos

In today's increasingly competitive financial world, successful risk management, portfolio management, and financial structuring demand more than up-to-date financial know-how. They also call for quantitative expertise, including the ability to effectively apply mathematical modeling tools and techniques, in this case credit. Credit Risk Modeling using Excel and VBA with DVD provides practitioners with a hands on introduction to credit risk modeling. Instead of just presenting analytical methods it shows how to implement them using Excel and VBA, in addition to a detailed description in the text a DVD guides readers step by step through the implementation. The authors begin by showing how to use option theoretic and statistical models to estimate a borrowers default risk. The second half of the book is devoted to credit portfolio risk. The authors guide readers through the implementation of a credit risk model, show how portfolio models can be validated or used to access structured credit products like CDO s. The final chapters address modeling issues associated with the new Basel Accord.

Autor

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 PhD student in finance at the chair of Gunter Löffler. His current research focus is on credit risk and financial econometrics. Peter studied philosophy and economics and holds a Diplom, M.Sc. equivalent, in economics from the University of Bonn.

Produkt-Details

• Erscheint lt. Verlag: 30.4.2007
• Reihe/Serie: Wiley Finance Series
• Reihe/Serie: Wiley Finance Series
• Sprache: englisch
• Themenwelt: Informatik ► Grafik / Design ► Digitale Bildverarbeitung
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Bankbetriebslehre
• Schlagworte: Finance & Investments • Financial Engineering • Finanztechnik • Finanz- u. Anlagewesen • Islam
• ISBN-10: 0-470-51074-9 / 0470510749
• ISBN-13: 978-0-470-51074-2 / 9780470510742