Credit Risk Modeling Using Excel And VBA

280 Pages | PDF | 15 MB This book is an introduction to modern credit risk methodology as well a cookbook for putting credit risk models to work. We hope that the two purposes go together well. From our own experience, analytical methods are best understood by implementing them. We have chosen Excel as our primary tool because it is a universal and very flexible tool that offers elegant solutions to many problems. Even Excel freaks may admit that it is not their first choice for some problems. But even then, it is nonetheless great for demonstrating how to put models at work, given that implementation strategies are mostly transferable to other programming environments. We also assume that the reader is somehow familiar with concepts from elementary statistics (e.g. probability distributions) and financial economics (e.g. discounting, options). Nevertheless, we explain basic concepts when we think that at least some readers might benefit from it. For example, we include appendices on maximum likelihood estimation or regressions. Download: (Size:15 MB) RapidShare