Credit Risk Modelling Using Excel and VBA With DVD Provides Practitioners With A Hands On Introduction to Credit Risk Modelling.DUBLIN, Ireland -- Research and Markets (http://www.researchandmarkets.com/reports/c55837) has announced the addition of "Credit Risk Modelling using Excel and VBA (Visual Basic for Applications) A subset of Visual Basic that provides a common language for customizing Microsoft applications. VBA supports COM, which allows a VBA script to invoke internal functions within Excel, Word and other COM-based programs or to make use of with DVD DVD: see digital versatile disc. DVD in full digital video disc or digital versatile disc Type of optical disc. The DVD represents the second generation of compact-disc (CD) technology. " to their offering. 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 modelling tools and techniques, in this case credit. Credit Risk Modelling using Excel and VBA with DVD provides practitioners with a hands on introduction to credit risk modelling. 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 Basel Accord Agreement concluded among country representatives in 1988 in Switzerland to develop standardized risk-based capital requirements for banks across countries. . About the Author GUNTER LOFFLER is professor of finance at the University of Ulm The University of Ulm (German: Universität Ulm) is a public university in the city of Ulm, in the South German state of Baden-Württemberg. The university was founded in 1967 and focuses on natural sciences, medicine and the engineering sciences, mathematics/ economics and 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 The University of Mannheim is one of the younger German universities. Though it sees its roots back to the Kurpfälzische Akademie der Wissenschaften of 1763, the actual university was founded in 1907 as college for economics. . Gunter has studied at Heidelberg and Cambridge Universities. PETER N. POSCH POSCH GI disease A clinical trial–Program on the Surgical Control of the Hyperlipidemias–of the effect of partial ileal bypass on M&M due to CAD in Pts with hypercholesterolemia. See Hypercholesterolemia, Ileal bypass surgery. is PhD student in finance at the chair of Gunter Loffler. 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 The University of Bonn (German: Rheinische Friedrich-Wilhelms-Universität Bonn) is a public research university located in Bonn, Germany. Founded in 1818 the University of Bonn is nowadays one of the largest universities in Germany. . Topics Covered: -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 Credit Default Swap A swap designed to transfer the credit exposure of fixed income products between parties. Notes: The buyer of a credit swap receives credit protection, whereas the seller of the swap guarantees the credit worthiness of the product. . -Risk Analysis of Structured Credit: CDOs and First-to-Default Swaps. -Basel II and Internal Ratings. For more information, visit http://www.researchandmarkets.com/reports/c55837 |
|
||||||||||||||
Printer friendly
Cite/link
Email
Feedback
Reader Opinion