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This book provides practitioners and students with a hands-on introduction tomodern credit risk modeling. The authors begin each chapter with an accessiblepresentation of a given methodology, before providing a step-by-step guide toimplementation 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 wellas credit default swaps and structured finance. Several appendices and videosincrease ease of access.The second edition includes new coverage of the important issue of howparameter uncertainty can be dealt with in the estimation of portfolio risk, aswell as comprehensive new sections on the pricing of CDSs and CDOs, anda chapter on predicting borrower-specific loss given default with regressionmodels. In all, the authors present a host of applications - many of whichgo beyond standard Excel or VBA usages, for example, how to estimate logitmodels with maximum likelihood, or how to quickly conduct large-scale MonteCarlo simulations.Clearly written with a multitude of practical examples, the new edition ofCredit Risk Modeling using Excel and VBA will prove an indispensible resourcefor anyone working in, studying or researching this important field.
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