Book

Credit Risk Modeling using Excel and VBA - Loeffler, Posch

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 borrower’s 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.


  • Level: Intermediate+
  • Major Topics: T31, T32, T36, T37
  • Minor Topics: T33, T38, T44

Resources

Book Resources

DVD with a toolset of Excel/VBA code

Online Resources

Sample chapter

Table of Contents

1. Estimating Credit Scores with Logit
2. The Structural Approach to Default Prediction and Valuation
3. Transition Matrices
4. Prediction of Default and Transition Rates
5. Modeling and Estimating Default Correlations with the Asset Value Approach
6. Measuring Credit Portfolio Risk with the Asset Value Approach
7. Validation of Rating Systems
8. Validation of Credit Portfolio Models
9. Risk-Neutral Default Probabilities and Credit Default Swaps
10. Risk Analysis of Structured Credit: CDOs and First-to-Default Swaps
11. Basel II and Internal Ratings…read more