It is common to blame the inadequacy of credit risk models for
the fact that the financial crisis has caught many market
participants by surprise. On closer inspection, though, it often
appears that market participants failed to understand or to use the
models correctly. The recent events therefore do not invalidate
traditional credit risk modeling as described in the first edition
of the book. A second edition is timely, however, because the first
dealt relatively briefly with instruments featuring prominently in
the crisis (CDSs and CDOs). In addition to expanding the coverage
of these instruments, the book will focus on modeling aspects which
were of particular relevance in the financial crisis (e.g.
estimation error) and demonstrate the usefulness of credit risk
modelling through case studies.
This book provides practitioners and students with an intuitive,
hands-on introduction to modern credit risk modelling. Every
chapter starts with an explanation of the methodology and then the
authors take the reader step by step through the implementation of
the methods in Excel and VBA. They focus specifically on risk
management issues and cover default probability estimation
(scoring, structural models, and transition matrices), correlation
and portfolio analysis, validation, as well as credit default swaps
and structured finance.
The book has an accompanying website, http:
//loeffler-posch.com/, which has been specially updated for this
Second Edition and contains slides and exercises for lecturers.
General
Is the information for this product incomplete, wrong or inappropriate?
Let us know about it.
Does this product have an incorrect or missing image?
Send us a new image.
Is this product missing categories?
Add more categories.
Review This Product
No reviews yet - be the first to create one!