Research Catalog

Details

Additional authors

1. Posch, Peter N.

Description

1. xii, 261 p. : ill.; 25 cm. +

Series statement

1. Wiley finance series

Subject

1. Microsoft Excel (Computer file)
2. Microsoft Visual Basic for applications
3. Credit > Management
4. Risk management

Contents

1. 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.

Call number

1. JBE 10-47

Bibliography (note)

1. Includes bibliographical references and index.

Author

1. Löffler, Gunter (Gunter Johannes)

Title

1. Credit risk modeling using Excel and VBA / Gunter Löffler, Peter N. Posch.

Imprint

1. Chichester, England ; Hoboken, NJ : Wiley, c2007.

Series

1. Wiley finance series

Bibliography

1. Includes bibliographical references and index.

Added author

1. Posch, Peter N.

LCCN

1. 2007002347

ISBN

1. 9780470031575 (cloth : alk. paper)
2. 0470031573 (cloth : alk. paper)

Research call number

1. JBE 10-47