Credit Risk Modeling using Excel and VBA (The Wiley Finance Series) Review

Average Reviews:

(More customer reviews)Finally a book came out that concerns the "normal" credit risk modeling as opposed to just credit risk pricing of derivatives and structured products. This book is excellent. I give it 4 stars because of the choice of the software, i.e. Excel. Almost everyone who is doing this kind of analysis is not doing it in Excel (from experience) but rather S-PLUS, R or SAS. But ok, not that big of a problem.
I would say that this is a good guide to credit risk modeling, but the reader should fill quite a lot for him/herself, but this will come from practice. Overall, the authors present the problems and solutions in a intuitive way and quite narrative, which makes it an easy read. They also explain the Excel and VBA code rather than just presenting it, which enables the reader to reproduce it easier.
Overall, I would recommend this book to anyone in credit risk management and especially to universities and students as often they come unprepared to the real world of credit risk modeling.

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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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