Customer Reviews

Credit Risk Modeling using Excel and VBA (The Wiley Finance Series)

5 star:		(5)
4 star:		(9)
3 star:		(0)
2 star:		(0)
1 star:		(0)

 

 

Finally a book came out that concerns the "normal" credit risk modeling as opposed to just credit risk pricing of derivatives and structured products. This book is excellent. I give it 4 stars because of the choice of the software, i.e. Excel. Almost everyone who is doing this kind of analysis is not doing it in Excel (from experience) but rather S-PLUS, R or SAS. But ok, not that big of a problem.
I would say that this is a good guide to credit risk modeling, but the reader should fill quite a lot for him/herself, but this will come from practice. Overall, the authors present the problems and solutions in a intuitive way and quite narrative, which makes it an easy read. They also explain the Excel and VBA code rather than just presenting it, which enables the reader to reproduce it easier.
Overall, I would recommend this book to anyone in credit risk management and especially to universities and students as often they come unprepared to the real world of credit risk modeling.

An extensive primer that gives a thorough understanding of Conditional Volatility models. Also great in letting the reader understand influence of asymmetry and correlations concepts on risk modelling. It is useful even if Excel or VBA is not your choice modelling application (whcih in most cases is not). More content in future editions on controlling the volatility of different forcast techniques would be a beneficial addition.

The book is a very good guide for anyone who is not familiar with Excel, VBA and or credit risk modelling. Even for the more experienced practitioner there is something to learn. For anyone wanting a practical guide I would thoroughly recommend this book.

This book introduces credit risk model with Excel example. It is not just the math formula. author use tangible Excel examples to explain how to do it and make us easily unstanding. This book is versy suitable for people who is interesting in credit risk field.

A very instructive and useful manual that disclose on a simple and in excel sheet programable way the great secretes of some most popular vendors modules. For every one who is puzzeled with high sofisticted formula for the simple things

I work with credit guarantee instruments in a public financial institution. I bought the book in order to gain more depth of knowledge in the credit risk modeling field, which is vital to my job. This book is extremely helpful for pricing credit instruments and brings up the theory as well. My previous level of knowledge in this specific field was about intermediate, but I think that the book is helpful for anyone working in the credit risk analysis business, or to Finance students.

This book describes useful approaches to anyone interested in credit risk modeling, in particular the first chapter devoted to logit models, the best way to measure probability of default of SMS firms with litte or no data on market value of debt.

It is a nice book with some basic mathmatics and VBA codes. It is helpful for both senior finance students and new banking risk analyst. I have been in Citibank consumer banking risk dept. for 5 years. It is especially useful for those who understand financial maths but not knowing how to implement it in a handy tool. However credit risk management is far more than quantitative measure. Therefore I would say this book is only a start-up for credit risk modeling.

I bought this book a month ago. Two authors explained everything in much easier manner using excel spreadsheet. However, they should have added additional materials on topics related to CDOs and CDS.

this is a good book and the associated CD shows how things are done in Excel in a detailed manner. very practically oriented.