Author(s) : Gunter Löffler, Peter N. Posch
Publisher : Wiley
Year : Jun 2007
ISBN 10 : 0470031573
ISBN 13 : 9780470031575
Language : English
Pages : 280
File type : PDF
Size : 14.5 MB

This book is an introduction to modern credit risk methodology as well a cookbook for putting credit risk models to work. We hope that the two purposes go together well. From our own experience, analytical methods are best understood by implementing them.

We have chosen Excel as our primary tool because it is a universal and very flexible tool that offers elegant solutions to many problems. Even Excel freaks may admit that it is not their first choice for some problems. But even then, it is nonetheless great for demonstrating how to put models at work, given that implementation strategies are mostly transferable to other programming environments.

We also assume that the reader is somehow familiar with concepts from elementary statistics (e.g. probability distributions) and financial economics (e.g. discounting, options). Nevertheless, we explain basic concepts when we think that at least some readers might benefit from it. For example, we include appendices on maximum likelihood estimation or regressions.

TABLE OF CONTENT:
Chapter 01 - Estimating Credit Scores with Logit
Chapter 02 - The Structural Approach to Default Prediction and Valuation
Chapter 03 - Transition Matrices
Chapter 04 - Prediction of Default and Transition Rates
Chapter 05 - Modeling and Estimating Default Correlations with the Asset Value Approach
Chapter 06 - Measuring Credit Portfolio Risk with the Asset Value Approach
Chapter 07 - Validation of Rating Systems
Chapter 08 - Validation of Credit Portfolio Models
Chapter 09 - Risk-Neutral Default Probabilities and Credit Default Swaps
Chapter 10 - Risk Analysis of Structured Credit: CDOs and First-to-Default Swaps
Chapter 11 - Basel II and Internal Ratings


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