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
| Status | Vol/Date | Format | Access | Call Number | Item Location |
|---|---|---|---|---|---|
| book & DVD | Text | Request in advance | HG3751 .L64 2007 book & DVD | Off-site | |
Not available - Please for assistance. | Text | Use 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.
- Subjects
- 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