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

by Gunter Loeffler (Author), Peter N. Posch (Author)
Key Phrases: credit risk modeling, portfolio loan, annual transition matrices, Monte Carlo, End If Next, Basel Committee (more...)

Editorial Reviews

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.

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Credit risk modelling using Excel and VBA

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Product Details

• Hardcover: 280 pages
• Publisher: Wiley; Har/DVD edition (June 4, 2007)
• Language: English
• ISBN-10: 0470031573
• ISBN-13: 978-0470031575
• Product Dimensions: 9.8 x 6.9 x 1 inches
• Shipping Weight: 1.6 pounds (View shipping rates and policies)
• Average Customer Review: 4.4 out of 5 stars See all reviews (10 customer reviews)
• Amazon.com Sales Rank: #251,041 in Books (See Bestsellers in Books)

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Customer Reviews

Most Helpful Customer Reviews

18 of 18 people found the following review helpful:

4.0 out of 5 stars very good guide to credit risk modeling, August 9, 2007

By	stat - See all my reviews

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.

5 of 5 people found the following review helpful:

4.0 out of 5 stars Good book guiding credit risk model , March 14, 2008

By	Alfred Wu (Taiwan) - See all my reviews (REAL NAME)

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.

5 of 5 people found the following review helpful:

5.0 out of 5 stars Credit Risk Modeling using Excel and VBA , July 3, 2007

By	P. Scobie (Qld, Australia) - See all my reviews (REAL NAME)

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.