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Credit risk modeling using Excel and VBA / Gunter Löffler, Peter N. Posch.
Series: Wiley finance seriesPublication details: Chichester, England ; Hoboken, NJ : Wiley, c2007.Description: xii, 261 p. : ill. ; 25 cm. + 1 videodiscISBN:- 9780470031575 :
- 0470031573 :
- HG3751 .L64 2007
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.
| Item type | Current library | Home library | Shelving location | Call number | Status | Date due | Barcode | |
|---|---|---|---|---|---|---|---|---|
Books
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American University in Dubai | American University in Dubai | Main Collection | HG 3751 .L64 2007 (Browse shelf(Opens below)) | Available | 603201 |
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| No cover image available | No cover image available | |||||||
| HG 3729 .U5 N64 1970 SBICs: pioneers in organized venture capital | HG 3751 .B58 2003 An introduction to credit risk modeling / | HG 3751 .C32 1998 Managing credit risk : the next great financial challenge / | HG 3751 .L64 2007 Credit risk modeling using Excel and VBA / | HG 3751 .S334 2002 Essentials of credit, collections, and accounts receivable / | HG 3751.5 .A53 2007 The credit scoring toolkit : theory and practice for retail credit risk management and decision automation / | HG 3751.5 .P373 2000 Research paper on Z score of UAE companies : with step-by-step guidelines to build your own Z score |
Includes bibliographical references and index.
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.
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