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, [2007], ©2007.

Items in the Library & Off-site

Filter by

2 Items

StatusVol/DateFormatAccessCall NumberItem Location
book & DVDTextRequest in advance HG3751 .L64 2007 book & DVDOff-site
TextUse in library Off-site

Holdings

Details

Additional Authors
Posch, Peter N.
Description
xii, 261 pages : illustrations; 25 cm +
Series Statement
Wiley finance series
Uniform Title
Wiley finance series.
Subject
  • Microsoft Excel (Computer file)
  • Credit > Management
  • Risk management
  • Visual Basic for Applications (Computer program language)
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.
ISBN
  • 9780470031575 (cloth : alk. paper)
  • 0470031573 (cloth : alk. paper)
LCCN
2007002347
OCLC
  • ocm79861435
  • SCSB-9330903
Owning Institutions
Columbia University Libraries