Credit Risk Modeling using Excel and VBA

Author: Gunter Löeffler,Peter N. Posch

Publisher: John Wiley & Sons

ISBN: 0470660929

Category: Business & Economics

Page: 358

View: 4909

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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.
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Credit Risk Modeling using Excel and VBA

Author: Gunter Löeffler,Peter N. Posch

Publisher: John Wiley & Sons

ISBN: 0470510749

Category: Business & Economics

Page: 280

View: 3970

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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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IFRS 9 and CECL Credit Risk Modelling and Validation

A Practical Guide with Examples Worked in R and SAS

Author: Tiziano Bellini

Publisher: Academic Press

ISBN: 0128149418

Category: Business & Economics

Page: 316

View: 3664

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IFRS 9 and CECL Credit Risk Modelling and Validation covers a hot topic in risk management. Both IFRS 9 and CECL accounting standards require Banks to adopt a new perspective in assessing Expected Credit Losses. The book explores a wide range of models and corresponding validation procedures. The most traditional regression analyses pave the way to more innovative methods like machine learning, survival analysis, and competing risk modelling. Special attention is then devoted to scarce data and low default portfolios. A practical approach inspires the learning journey. In each section the theoretical dissertation is accompanied by Examples and Case Studies worked in R and SAS, the most widely used software packages used by practitioners in Credit Risk Management. Offers a broad survey that explains which models work best for mortgage, small business, cards, commercial real estate, commercial loans and other credit products Concentrates on specific aspects of the modelling process by focusing on lifetime estimates Provides an hands-on approach to enable readers to perform model development, validation and audit of credit risk models
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Credit Risk

Author: Marek Capiński,Tomasz Zastawniak

Publisher: Cambridge University Press

ISBN: 1316861872

Category: Mathematics

Page: N.A

View: 4395

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Modelling credit risk accurately is central to the practice of mathematical finance. The majority of available texts are aimed at an advanced level, and are more suitable for PhD students and researchers. This volume of the Mastering Mathematical Finance series addresses the need for a course intended for master's students, final-year undergraduates, and practitioners. The book focuses on the two mainstream modelling approaches to credit risk, namely structural models and reduced-form models, and on pricing selected credit risk derivatives. Balancing rigorous theory with examples, it takes readers through a natural development of mathematical ideas and financial intuition.
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Professional Financial Computing Using Excel and VBA

Author: Donny C. F. Lai,Humphrey K. K. Tung,Michael C. S. Wong

Publisher: John Wiley & Sons

ISBN: 1118179080

Category: Business & Economics

Page: 350

View: 4402

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"Professional Financial Computing Using Excel and VBA is an admirable exposition that bridges the theoretical underpinnings of financial engineering and its application which usually appears as a "black-box" software application. The book opens the black-box and reveals the architecture of risk-modeling and financial engineering based on industry-standard stochastic models by utilizing Excel and VBA functionality to create a robust and practical modeling tool-kit. Financial engineering professionals who purchase this book will have a jumpstart advantage for their customized financial engineering and modeling needs." Dr. Cameron Wicentowich Vice President, Treasury Analytics Canadian Imperial Bank of Commerce (CIBC) "Spreadsheet modeling for finance has become a standard course in the curriculum of many Quantitative Finance programs since the Excel-based Visual Basic programming is now widely used in constructing optimal portfolios, pricing structured products and managing risks. Professional Financial Computing Using Excel and VBA is written by a unique team of finance, physics and computer academics and practitioners. It is a good reference for those who are studying for a Masters degree in Financial Engineering and Risk Management. It can also be useful for financial engineers to jump-start a project on designing structured products, modeling interest term structure or credit risks." Dr. Jin Zhang Director of Master of Finance Program and Associate Professor The University of Hong Kong "Excel has been one of the most powerful tools for financial planning and computing over the last few years. Most users utilize a fraction of its capabilities. One of the reasons is the limited availability of books that cover the advanced features of Excel for Finance. Professional Financial Computing Using Excel and VBA goes the extra mile and deals with the Excel tools many professionals call for. This book is a must for professionals or students dealing with financial engineering, financial risk management, computational finance or mathematical finance. I loved the way the authors covered the material using real life, hands-on examples." Dr. Isaac Gottlieb Temple University Author, Next Generation Excel: Modeling in Excel for Analysts and MBAs
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Basel III Credit Rating Systems

An Applied Guide to Quantitative and Qualitative Models

Author: L. Izzi,G. Oricchio,L. Vitale

Publisher: Springer

ISBN: 0230361188

Category: Business & Economics

Page: 344

View: 9099

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More than ever, banking competition is based on the ability to control the cost of risk and can only be managed with excellent internal rating models and very advanced risk management processes. This book is a comprehensive guide to quantitative and qualitative rating assessments with up-to-date methodologies in the international banking system.
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Hedge Fund Modelling and Analysis Using Excel and VBA

Author: Paul Darbyshire,David Hampton

Publisher: John Wiley & Sons

ISBN: 0470747196

Category: Business & Economics

Page: 278

View: 2622

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Co-authored by two respected authorities on hedge funds and asset management, this implementation-oriented guide shows you how to employ a range of the most commonly used analysis tools and techniques both in industry and academia, for understanding, identifying and managing risk as well as for quantifying return factors across several key investment strategies. The book is also suitable for use as a core textbook for specialised graduate level courses in hedge funds and alternative investments. The book provides hands-on coverage of the visual and theoretical methods for measuring and modelling hedge fund performance with an emphasis on risk-adjusted performance metrics and techniques. A range of sophisticated risk analysis models and risk management strategies are also described in detail. Throughout, coverage is supplemented with helpful skill building exercises and worked examples in Excel and VBA. The book's dedicated website, www.darbyshirehampton.com provides Excel spreadsheets and VBA source code which can be freely downloaded and also features links to other relevant and useful resources. A comprehensive course in hedge fund modelling and analysis, this book arms you with the knowledge and tools required to effectively manage your risks and to optimise the return profile of your investment style.
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QFinance

The Ultimate Resource

Author: Various Authors

Publisher: Bloomsbury USA

ISBN: 9781849300001

Category: Business & Economics

Page: 2200

View: 1750

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Compiled by more than 300 of the world's leading professionals, visionaries, writers and educators, this is THE first-stop reference resource and knowledge base for finance. QFINANCE covers an extensive range of finance topics with unique insight, authoritative information, practical guidance and thought-provoking widsom. Unmatched for in-depth content, QFINANCE contains more than 2 million words of text, data analysis, critical summaries and bonus online content. Created by Bloomsbury Publishing in association with the Qatar Financial Centre (QFC) Authority, QFINANCE is the expert reference resource for finance professionals, academics, students, journalists and writers. QFINANCE: The Ultimate Resource Special Features: Best Practice and Viewpoint Essays – Finance leaders, experts and educators address how to resolve the most crucial issues and challenges facing business today. Finance Checklists – Step-by-step guides offer problem-solving solutions including hedging interest-rate risk, governance practices, project appraisal, estimating enterprise value and managing credit ratings. Calculations and Ratios – Essential mathematical tools include how to calculate return on investment, return on shareholders’ equity, working capital productivity, EVA, risk-adjusted rate of return, CAPM, etc. Finance Thinkers and Leaders – Illuminating biographies of 50 of the leading figures in modern finance including Joseph De La Vega, Louis Bachelier, Franco Modigliani, Paul Samuelson, and Myron Scholes Finance Library digests –Summaries of more than 130 key works ranging from “Against the Gods” to “Portfolio Theory & Capital Markets” and “The Great Crash”. Country and Sector Profiles – In-depth analysis of 102 countries and 26 sectors providing essential primary research resource for direct or indirect investment. Finance Information Sources – A select list of the best resources for further information on finance and accounting worldwide, both in print and online, including books, journal articles, magazines, internet, and organizations Finance Dictionary – A comprehensive jargon-free, easy-to-use dictionary of more than 9,000 finance and banking terms used globally. Quotations – More than 2,000 business relevant quotations. Free access to QFinance Online Resources (www.qfinance.com): Get daily content updates, podcasts, online events and use our fully searchable database.
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Financial Simulation Modeling in Excel

A Step-by-Step Guide

Author: Keith A. Allman,Josh Laurito,Michael Loh

Publisher: John Wiley & Sons

ISBN: 1118137221

Category: Business & Economics

Page: 216

View: 6192

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"I've worked with simulation in business for over 20 years, andAllman really nails it with this book. I admit that I own hisprevious book on structured finance cash flows, but I was surprisedby what I found in here. He addresses the fundamental questions ofhow decision makers react to simulations and his read was very muchin accordance with what I've experienced myself. When it came tothe nuts and bolts of describing the different types of simulationanalysis the book becomes incredibly detailed. There is workingcode and models for a fantastic array of the most common simulationproblems. If you're so inclined, the book very carefully stepsthrough the tricky math needed to really understand the theorybehind stochastic modeling in finance. If you're preparing modelsthat include any kind of randomization or stochastic modelingcomponent, this book is a must-read, a tremendous value andtime-saver." — David Brode of The Brode Group A practical guide to understanding and implementing financialsimulation modeling As simulation techniques become more popular among the financialcommunity and a variety of sub-industries, a thorough understandingof theory and implementation is critical for practitioners involvedin portfolio management, risk management, pricing, and capitalbudgeting. Financial Simulation Modeling in Excel containsthe information you need to make the most informed decisionspossible in your professional endeavors. Financial Simulation Modeling in Excel contains apractical, hands-on approach to learning complex financialsimulation methodologies using Excel and VBA as a medium. Craftedin an easy to understand format, this book is suitable for anyonewith a basic understanding of finance and Excel. Filled within-depth insights and expert advice, each chapter takes you throughthe theory behind a simulation topic and the implementation of thatsame topic in Excel/VBA in a step-by-step manner. Organized in an easy-to-follow fashion, this guide effectivelywalks you through the process of creating and implementing riskmodels in Excel A companion website contains all the Excel models risk expertsand quantitative analysts need to practice and confirm theirresults as they progress Keith Allman is the author of other successful modeling books,including Corporate Valuation Modeling and ModelingStructured Finance Cash Flows with Microsoft Excel Created for those with some background in finance and experiencein Excel, this reliable resource shows you how to effectivelyperform sound financial simulation modeling, even if you've yet todo extensive modeling up to this point in your professional oracademic career.
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Correlation Risk Modeling and Management

An Applied Guide including the Basel III Correlation Framework - With Interactive Models in Excel / VBA

Author: Gunter Meissner

Publisher: John Wiley & Sons

ISBN: 1118796896

Category: Business & Economics

Page: 350

View: 1488

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A thorough guide to correlation risk and its growing importance in global financial markets Ideal for anyone studying for CFA, PRMIA, CAIA, or other certifications, Correlation Risk Modeling and Management is the first rigorous guide to the topic of correlation risk. A relatively overlooked type of risk until it caused major unexpected losses during the financial crisis of 2007 through 2009, correlation risk has become a major focus of the risk management departments in major financial institutions, particularly since Basel III specifically addressed correlation risk with new regulations. This offers a rigorous explanation of the topic, revealing new and updated approaches to modelling and risk managing correlation risk. Offers comprehensive coverage of a topic of increasing importance in the financial world Includes the Basel III correlation framework Features interactive models in Excel/VBA, an accompanying website with further materials, and problems and questions at the end of each chapter
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