| Item type | Current library | Collection | Class number | Status | Date due | Barcode |
|---|---|---|---|---|---|---|
| ebook | Library Services | ebooks | Available |
Includes bibliographical references and index.
1. Estimating Credit Scores with Logit -- 2. Structural Approach to Default Prediction and Valuation -- 3. Transition Matrices -- 4. Prediction of Default and Transition Rates -- 5. Prediction of Loss Given Default -- 6. Modeling and Estimating Default Correlations with the Asset Value Approach -- 7. Measuring Credit Portfolio Risk with the Asset Value Approach -- 8. Validation of Rating Systems -- 9. Validation of Credit Portfolio Models -- 10. Credit Default Swaps and Risk-Neutral Default Probabilities -- 11. Risk Analysis and Pricing of Structured Credit: CDOs and First-to-Default Swaps -- 12. Basel II and Internal Ratings.
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.
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