Research Catalog
Credit risk modeling using Excel and VBA
- Title
- Credit risk modeling using Excel and VBA / Gunter Löffler, Peter N. Posch.
- Author
- Löffler, Gunter (Gunter Johannes)
- Publication
- Chichester, England ; Hoboken, NJ : Wiley, c2007.
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| Status | Format | Access | Call Number | Item Location |
|---|---|---|---|---|
Available - Can be used on site. Please visit New York Public Library - Schwarzman Building to submit a request in person. | Text | Use in library | JBE 10-47 | Schwarzman Building - General Research Room 315 |
Details
- Additional Authors
- Posch, Peter N.
- Description
- xii, 261 p. : ill.; 25 cm. +
- Series Statement
- Wiley finance series
- Subject
- Bibliography (note)
- Includes bibliographical references and index.
- Contents
- 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.
- Call Number
- JBE 10-47
- ISBN
- 9780470031575 (cloth : alk. paper)
- 0470031573 (cloth : alk. paper)
- LCCN
- 2007002347
- OCLC
- 79861435
- Author
- Löffler, Gunter (Gunter Johannes)
- Title
- Credit risk modeling using Excel and VBA / Gunter Löffler, Peter N. Posch.
- Imprint
- Chichester, England ; Hoboken, NJ : Wiley, c2007.
- Series
- Wiley finance series
- Bibliography
- Includes bibliographical references and index.
- Added Author
- Posch, Peter N.
- Research Call Number
- JBE 10-47