商品描述
This book provides practitioners and students with a hands-on introduction to
modern credit risk modeling. The authors begin each chapter with an accessible
presentation of a given methodology, before providing a step-by-step guide to
implementation methods in Excel and Visual Basic for Applications (VBA).
The book covers default probability estimation (scoring, structural models,
and transition matrices), correlation and portfolio analysis, validation, as well
as credit default swaps and structured finance. Several appendices and videos
increase ease of access.
The second edition includes new coverage of the important issue of how
parameter uncertainty can be dealt with in the estimation of portfolio risk, as
well as comprehensive new sections on the pricing of CDSs and CDOs, and
a chapter on predicting borrower-specific loss given default with regression
models. In all, the authors present a host of applications - many of which
go beyond standard Excel or VBA usages, for example, how to estimate logit
models with maximum likelihood, or how to quickly conduct large-scale Monte
Carlo simulations.
Clearly written with a multitude of practical examples, the new edition of
Credit Risk Modeling using Excel and VBA will prove an indispensible resource
for anyone working in, studying or researching this important field.
modern credit risk modeling. The authors begin each chapter with an accessible
presentation of a given methodology, before providing a step-by-step guide to
implementation methods in Excel and Visual Basic for Applications (VBA).
The book covers default probability estimation (scoring, structural models,
and transition matrices), correlation and portfolio analysis, validation, as well
as credit default swaps and structured finance. Several appendices and videos
increase ease of access.
The second edition includes new coverage of the important issue of how
parameter uncertainty can be dealt with in the estimation of portfolio risk, as
well as comprehensive new sections on the pricing of CDSs and CDOs, and
a chapter on predicting borrower-specific loss given default with regression
models. In all, the authors present a host of applications - many of which
go beyond standard Excel or VBA usages, for example, how to estimate logit
models with maximum likelihood, or how to quickly conduct large-scale Monte
Carlo simulations.
Clearly written with a multitude of practical examples, the new edition of
Credit Risk Modeling using Excel and VBA will prove an indispensible resource
for anyone working in, studying or researching this important field.
商品描述(中文翻譯)
本書為實務工作者和學生提供了現代信用風險建模的實作入門。作者在每一章的開頭以易於理解的方式介紹特定的方法論，然後提供逐步的 Excel 和 Visual Basic for Applications (VBA) 實作指南。本書涵蓋了違約概率估計（評分、結構模型和轉換矩陣）、相關性和投資組合分析、驗證，以及信用違約掉期和結構性金融。幾個附錄和影片增加了可及性。
第二版新增了如何處理參數不確定性在投資組合風險估計中的重要議題的內容，以及關於信用違約掉期 (CDS) 和擔保債務憑證 (CDO) 定價的全面新章節，還有一章關於使用回歸模型預測借款人特定的違約損失。總的來說，作者展示了許多應用案例，其中許多超越了標準的 Excel 或 VBA 用法，例如，如何使用最大似然法估計邏輯斯模型，或如何快速進行大規模的蒙地卡羅模擬。
這本《使用 Excel 和 VBA 進行信用風險建模》的新版本清晰易懂，並提供了大量實用範例，將成為任何在這一重要領域工作、學習或研究的人不可或缺的資源。
