Книга содержит практические рекомендации по построению моделей
измерения кредитных рисков в среде Microsoft Excel. Прилагаются
xls-файлы с примерами моделей. Книга на английском, но это одно из
лучших руководств по моделированию кредитного риска в Excel'е.
Preface.
Estimating Credit Scores with Logit.
The Structural Approach to Default Prediction and Valuation.
Transition Matrices.
Prediction of Default and Transition Rates.
Modeling and Estimating Default Correlations with the Asset Value Approach.
Measuring Credit Portfolio Risk with the Asset Value Approach.
alidation of Rating Systems.
alidation of Credit Portfolio Models.
Risk-Neutral Default Probabilities and Credit Default Swaps.
Risk Analysis of Structured Credit: CDOs and First-to-Default Swaps.
Basel II and Inteal Ratings.
Appendix A1 Visual Basics for Applications (VBA).
Appendix A2 Solver.
Appendix A3 Maximum Likelihood Estimation and Newton’s Method.
Appendix A4 Testing and Goodness of Fit.
Appendix A5 User-Defined Functions.
Preface.
Estimating Credit Scores with Logit.
The Structural Approach to Default Prediction and Valuation.
Transition Matrices.
Prediction of Default and Transition Rates.
Modeling and Estimating Default Correlations with the Asset Value Approach.
Measuring Credit Portfolio Risk with the Asset Value Approach.
alidation of Rating Systems.
alidation of Credit Portfolio Models.
Risk-Neutral Default Probabilities and Credit Default Swaps.
Risk Analysis of Structured Credit: CDOs and First-to-Default Swaps.
Basel II and Inteal Ratings.
Appendix A1 Visual Basics for Applications (VBA).
Appendix A2 Solver.
Appendix A3 Maximum Likelihood Estimation and Newton’s Method.
Appendix A4 Testing and Goodness of Fit.
Appendix A5 User-Defined Functions.