Product Description

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.

Product Details

• Amazon Sales Rank: #138206 in Books
• Published on: 2007-04-04
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 280 pages

From the Inside Flap
Credit risk modelling using Excel and VBA

From the Back Cover
This book provides practitioners and students with an intuitive, hands–on introduction to modern credit risk modeling. A typical chapter starts with an approachable presentation of the methodology. Step by step, the authors then show how to implement the methods in Excel and Visual Basic for Applications. Focusing on risk management issues, the book covers default probability estimation (scoring, structural models, and transition matrices), correlation and portfolio analysis, validation, as well as credit default swaps and structured finance. Several appendices and videos increase ease of access.

The authors present a host of applications – many of which go beyond standard Excel or VBA usages. For example, they show how to estimate logit models with maximum likelihood, or how to conduct large–scale Monte Carlo simulations in little time. Even to experienced modelers the book can serve as a toolbox and source of inspiration.  

"In one place, Löffler and Posch provide all that is needed to install state–of–the–art risk management system, including a broad understanding of different risk management frameworks, detailed estimation techniques for deriving PD, LGD, and correlation parameters, and programing tools for putting these methods into practice."
—Richard Cantor, Managing Director, Credit Policy Research, Moody’s Investors Service

"I read this book cover–to–cover and recommend it heartily. For each topic, there is straightforward explanation, practical examples, and implementable coding. This book would have saved me months of effort many times over with its full ‘toolset’ of Excel/VBA code. I have immediate plans to reread sections and incorporate sections of code into my own spreadsheets."
—Greg M. Gupton, Fitch Ratings & DefaultRisk.com

About the Author
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.

Customer Reviews

Practical and to the point
The book does what it says on the cover (which can not be said for all the books that are out there) it shows how to model credit risk using excel and VBA. The authors also go into modeling CDS (Credit Default Swaps) and CDO's (Collateralized Debt Obligations) using Monte Carlo Simulations. Although they authors stress that this is not the purpose of the book I would have appreciated if there was also code in how to price CDO's using Copulas. The book contains all the Excel and VBA files in the DVD disk that accompanies this book and even video files in which the authors show how to write quick and efficient code and how to use some of the excel files. I whole heartedly recommend this book.

Textbook and Step-by-step application in one book
This book does not solely review state-of-the art credit risk models, but continues to put them to work. Using Excel and Visual Basics as standard software one can directly start building the model and using them for their own needs. For example chapter 1 discusses the scoring model (logit) for estimating probabilities of default. On the DVD there is the Excel sheet discussed in the book with example data and the logit program (which is not standard Excel software). Reading the chapter I learned about the basics of binary response models and increased my knowledge looking at the data.
Each, the technical part and the textbook part, alone are worth studying, combining both is a great advantage.
The DVD also contains videos explaining the Excel/VBA part step-by-step. I did not have time to watch them, but they could be a nice addition.

Good reading; however hooked on VBA
Good reading worth a buy.

All relevant topics are treated with the right level of detail.

There is always a summary of the theory in front of the practical aspects of modelling.

Guides you step by step (Excel 2003); however a bit too much of VBA for me.

rgds