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Credit Risk Modeling Using Excel and VBA (The Wiley Finance Series) | 
 enlarge | Authors: Gunter Loeffler, Peter N. Posch
Publisher: John Wiley & Sons
Category: Book
List Price: £60.00
Buy New: £42.49
You Save: £17.51 (29%)
New (23) Used (5) from £42.49
Avg. Customer Rating:  2 reviews
Sales Rank: 60297
Media: Hardcover
Edition: Har/DVD
Number Of Items: 1
Pages: 280
Shipping Weight (lbs): 1.6
Dimensions (in): 9.8 x 6.9 x 1
ISBN: 0470031573
Dewey Decimal Number: 332.70285554
EAN: 9780470031575
ASIN: 0470031573
Publication Date: April 4, 2007
Availability: Usually dispatched within 1-2 business days
Condition: [Ships UK only] Brand NEW, from UK warehouse. (Heavy / Expensive items are shipped by courier and require a signature) Delivery typically 3-8 days.
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| Customer Reviews:
Practical and to the point May 9, 2007
4 out of 4 found this review helpful
The book does what it says on the cover (which can not be said for all the books that are out there) it shows how to model credit risk using excel and VBA. The authors also go into modeling CDS (Credit Default Swaps) and CDO's (Collateralized Debt Obligations) using Monte Carlo Simulations. Although they authors stress that this is not the purpose of the book I would have appreciated if there was also code in how to price CDO's using Copulas. The book contains all the Excel and VBA files in the DVD disk that accompanies this book and even video files in which the authors show how to write quick and efficient code and how to use some of the excel files. I whole heartedly recommend this book.
Textbook and Step-by-step application in one book May 1, 2007
2 out of 2 found this review helpful
This book does not solely review state-of-the art credit risk models, but continues to put them to work. Using Excel and Visual Basics as standard software one can directly start building the model and using them for their own needs. For example chapter 1 discusses the scoring model (logit) for estimating probabilities of default. On the DVD there is the Excel sheet discussed in the book with example data and the logit program (which is not standard Excel software). Reading the chapter I learned about the basics of binary response models and increased my knowledge looking at the data.
Each, the technical part and the textbook part, alone are worth studying, combining both is a great advantage.
The DVD also contains videos explaining the Excel/VBA part step-by-step. I did not have time to watch them, but they could be a nice addition.
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