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Credit Risk Modeling Using Excel And Vba

Author: Gunter Löeffler
Publisher: John Wiley & Sons
ISBN: 0470660929
Size: 36.71 MB
Format: PDF, Docs
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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.

Credit Risk Modeling Using Excel And Vba

Author: Gunter Löeffler
Publisher: John Wiley & Sons
ISBN: 0470510749
Size: 13.62 MB
Format: PDF, ePub
View: 6469
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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.

Excel 2007 Vba Programmierung F R Dummies

Author: John Walkenbach
Publisher: Wiley-VCH
ISBN: 9783527704118
Size: 17.46 MB
Format: PDF, ePub
View: 6342
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Um noch mehr aus Excel herauszuholen, empfiehlt sich die VBA-Programmierung, mit der Sie Excel auf Ihre Bedürfnisse zuschneiden können. John Walkenbach zeigt Ihnen in "Excel 2007 VBA-Programmierung für Dummies", wie Sie Excel-Berechnungen mit VBA automatisieren. Er erklärt Ihnen zunächst die notwendigen VBA-Grundlagen und wichtigsten Werkzeuge sowie VBA-Abläufe des VBA-Editors. Außerdem erhalten Sie eine Übersicht über die wichtigsten Bestandteile und Begriffe, die für die VBA-Programmierung in Excel relevant sind, und Sie erfahren, wie Sie Programmierfehler ausfindig machen und beheben.

Financial Engineering

Author: Michael Bloss
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 311053116X
Size: 23.69 MB
Format: PDF, ePub
View: 247
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Dieses Buch zeigt einzelne Strategien, Bewertungen, das Risikocontrolling und den Financial-Engineering-Prozess auf und geht dabei explizit auf die verwendeten Derivate sowie die eingesetzten Kombinationsstrategien ein. Gegenüber der Vorauflage wurde das Augenmerk verstärkt auf die Modelle im Financial Engineering, die neuen Produktausgestaltungen und die veränderte Regulatorik gelegt.

Ifrs 9 And Cecl Credit Risk Modelling And Validation

Author: Tiziano Bellini
Publisher: Academic Press
ISBN: 0128149418
Size: 17.40 MB
Format: PDF
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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

Semi Markov Migration Models For Credit Risk

Author: Guglielmo D'Amico
Publisher: John Wiley & Sons
ISBN: 111941511X
Size: 14.97 MB
Format: PDF, ePub
View: 7747
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Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Though this problem is studied by large rating agencies with substantial economic, social and financial tools, building stochastic models is nevertheless necessary to complete this descriptive orientation. This book presents a complete presentation of such a category of models using homogeneous and non-homogeneous semi-Markov processes developed by the authors in several recent papers. This approach provides a good method of evaluating the default risk and the classical VaR indicators used for Solvency II and Basel III governance rules. This book is the first to present a complete semi-Markov treatment of credit risk while also insisting on the practical use of the models presented here, including numerical aspects, so that this book is not only useful for scientific research but also to managers working in this field for banks, insurance companies, pension funds and other financial institutions.

Professional Financial Computing Using Excel And Vba

Author: Donny C. F. Lai
Publisher: John Wiley & Sons
ISBN: 1118179080
Size: 31.65 MB
Format: PDF, ePub, Mobi
View: 6078
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"Professional Financial Computing Using Excel and VBA is anadmirable exposition that bridges the theoretical underpinnings offinancial engineering and its application which usually appears asa "black-box" software application. The book opens the black-boxand reveals the architecture of risk-modeling and financialengineering based on industry-standard stochastic models byutilizing Excel and VBA functionality to create a robust andpractical modeling tool-kit. Financial engineering professionalswho purchase this book will have a jumpstart advantage for theircustomized 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 coursein the curriculum of many Quantitative Finance programs since theExcel-based Visual Basic programming is now widely used inconstructing optimal portfolios, pricing structured products andmanaging risks. Professional Financial Computing Using Excel andVBA is written by a unique team of finance, physics andcomputer academics and practitioners. It is a good reference forthose who are studying for a Masters degree in FinancialEngineering and Risk Management. It can also be useful forfinancial engineers to jump-start a project on designing structuredproducts, 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 financialplanning and computing over the last few years. Most users utilizea fraction of its capabilities. One of the reasons is the limitedavailability of books that cover the advanced features of Excel forFinance. Professional Financial Computing Using Excel andVBA goes the extra mile and deals with the Excel tools manyprofessionals call for. This book is a must for professionals orstudents dealing with financial engineering, financial riskmanagement, computational finance or mathematical finance. I lovedthe way the authors covered the material using real life, hands-onexamples." Dr. Isaac Gottlieb Temple University Author, Next Generation Excel: Modeling in Excel for Analystsand MBAs