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Credit Risk Modeling using Excel and VBA 2nd ed. Edition

by Gunter Löeffler (Author), Peter N Posch (Author)

4.2 47 ratings

See all formats and editions

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This book provides practitioners and students with a hands-on introduction to
modern credit risk modeling. The authors begin each chapter with an accessible
presentation of a given methodology, before providing a step-by-step guide to
implementation 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 well
as credit default swaps and structured finance. Several appendices and videos
increase ease of access.
The second edition includes new coverage of the important issue of how
parameter uncertainty can be dealt with in the estimation of portfolio risk, as
well as comprehensive new sections on the pricing of CDSs and CDOs, and
a chapter on predicting borrower-specific loss given default with regression
models. In all, the authors present a host of applications - many of which
go beyond standard Excel or VBA usages, for example, how to estimate logit
models with maximum likelihood, or how to quickly conduct large-scale Monte
Carlo simulations.
Clearly written with a multitude of practical examples, the new edition of
Credit Risk Modeling using Excel and VBA will prove an indispensible resource
for anyone working in, studying or researching this important field.

DVD content has moved online. Get access to this content by going to booksupport.wiley.com and typing in the ISBN-13

Editorial Reviews

From the Author

Additional material, including slide sets and exercises for lecturers, is available on our homepage loeffler-posch.com.

From the Inside Flap

Further praise for the first edition

"I read this book cover-to-cover and recommend
it heartily. For each topic, there is straightforward
explanation, practical examples, and implementable
coding. This book would have saved me months of
effort many times over with its full 'toolset' of Excel/
VBA code. I have immediate plans to reread sections
and incorporate sections of code into my own
spreadsheets."
Greg M. Gupton, Founder and Director,
DefaultRisk.com

Praise for the second edition

"This is a very useful book. It provides incisive basic
background knowledge on modelling for key credit
risk topics, including a new chapter on loss given
default prediction, and the coding examples help to
deepen the readers' understanding and can be used
as the basis for more advanced approaches, possibly
with more powerful tools."
Dirk Tasche, Senior Risk Advisor, Lloyds

From the Back Cover

This book provides practitioners and students with a hands-on introduction to
modern credit risk modeling. The authors begin each chapter with an accessible
presentation of a given methodology, before providing a step-by-step guide to
implementation 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 well
as credit default swaps and structured finance. Several appendices and videos
increase ease of access.
The second edition includes new coverage of the important issue of how
parameter uncertainty can be dealt with in the estimation of portfolio risk, as
well as comprehensive new sections on the pricing of CDSs and CDOs, and
a chapter on predicting borrower-specific loss given default with regression
models. In all, the authors present a host of applications - many of which
go beyond standard Excel or VBA usages, for example, how to estimate logit
models with maximum likelihood, or how to quickly conduct large-scale Monte
Carlo simulations.
Clearly written with a multitude of practical examples, the new edition of
Credit Risk Modeling using Excel and VBA will prove an indispensible resource
for anyone working in, studying or researching this important field.

"In one place, Löffler and Posch provide all that is needed to install a state-of-the art risk management system, including a broad understanding of different risk management frameworks, detailed estimation techniques for deriving PD, LGD, and correlation parameters, and programming tools for putting these methods into practice."
Richard Cantor, Chief Credit Officer, Moody's Investors Service

About the Author

GUNTER LÖFFLER is Professor of finance at
the University of Ulm in Germany. His current
research interests are on credit risk and empirical
finance. Previously, Gunter was Assistant Professor
at Goethe University Frankfurt, and served as
an internal consultant in the asset management
division of Commerzbank. His Ph.D. in finance
is from the University of Mannheim. Gunter has
studied at Heidelberg and Cambridge Universities.

PETER N. POSCH is Assistant Professor of finance
at the University of Ulm in Germany. Previously,
Peter was with the credit treasury of a large bank,
where he also traded credit derivatives and other
fixed income products for the bank's proprietary
books. His Ph.D. in finance on the dynamics of
credit risk is from the University of Ulm. Peter
has studied economics, philosophy and law at the
University of Bonn.

DVD content has moved online. Get access to this content by going to booksupport.wiley.com and typing in the ISBN-13

Product details

Publisher ‏ : ‎ Wiley; 2nd ed. edition (January 31, 2011)
Language ‏ : ‎ English
Hardcover ‏ : ‎ 368 pages
ISBN-10 ‏ : ‎ 0470660929
ISBN-13 ‏ : ‎ 978-0470660928
Item Weight ‏ : ‎ 1.75 pounds
Dimensions ‏ : ‎ 6.7 x 1.1 x 9.6 inches

Best Sellers Rank: #1,464,466 in Books (See Top 100 in Books)
- #297 in Risk Management (Books)
- #516 in Spreadsheet Books
- #57,645 in Unknown

Customer Reviews:
4.2 47 ratings

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47 global ratings

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E. Chen

Practical, but not superficial

Reviewed in the United States on April 26, 2014

Verified Purchase

Clearly, Excel is not even remotely the best platform to perform large scale credit risk modeling or analysis. However, Excel is probably the most concise, neutral platform from which to demonstrate the techniques involved in implementing the models discussed in the book.

** Note, please do not rely on this book as your main source for learning the mathematical and economical nuances of these models.

3 people found this helpful

Helpful

Matt

A very good book. Rich in theory and application

Reviewed in the United States on August 17, 2014

Verified Purchase

A very good book. Rich in theory and application. Very useful for people who study finance or fields that are related to risk analysis. Adequate training in mathematics, statistics and VBA code is essential.

2 people found this helpful

Helpful

Brian Tancock

Excellent

Reviewed in the United States on August 6, 2021

Verified Purchase

This text does an excellent job of outlining the principles of credit risk modeling and provides clear cut examples in the support material... they don't make them like this anymore

Helpful

François Blouin

Don't really enjoy finance books presenting thick equations and symbols one after ...

Reviewed in the United States on March 9, 2015

Verified Purchase

Don't really enjoy finance books presenting thick equations and symbols one after the others, but it does the job for the course I'm following.

Helpful

Kindle Customer

LIFE SAVER FOR AMATEUR AND NEWBIE MODELLERS

Reviewed in the United States on January 14, 2019

Verified Purchase

Excellent book!!!! Let me tell you a story. I am a credit risk manager for a local investment company (subsidiary of a global fund) and my background is into corporate finance and proj.fin modelling. Since my background is not really math intensive, I am deeply worried if I can deliver my risk models just in time. Thank God I found this book of life!!! It really helped me carry on my modelling career in the field of risk mgt. I can tell you that Ive learned so much from this book.

Helpful

Matha Goram

Worthy study material

Reviewed in the United States on February 16, 2011

Verified Purchase

Good balance between theory and practice at many levels for the curious or the accomplished practioner. The author's experience shines through when he avoids deprecating his knowledge and expertise into an Excel VBA primer as many often do.

2 people found this helpful

Helpful

Ana Zargham

But there is companion website to use which is great. The are few appendices at the end of ...

Reviewed in the United States on March 11, 2017

Verified Purchase

There is no DVD in the book. But there is companion website to use which is great. The are few appendices at the end of the book that provide a crash course in preliminary topics needed to understand the technical content of the book. Depending on the reader's background you may need other sources first as a refresher for understanding statistical analysis topic like "Maximum Likelihood estimation"

2 people found this helpful

Helpful

Archbold Muhle

Excellent cut from the renowned authors

Reviewed in the United States on May 1, 2016

Verified Purchase

Excellent cut from the renowned authors! One of the live and cream quants texts on my shelf. Recommended for ingenious risk modellers who love the implementation side of statistics and mathematics. Risk Analytics - let the numbers speak!

Helpful

Top reviews from other countries

Sergio

Useful for credit risk management

Reviewed in Mexico on March 5, 2022

Verified Purchase

I got the book sooner than it was expected. It came in very good conditions. It is a useful material for estimating the default probabilities when a lead request a loan.

Noodle

If you work in credit risk, read this

Reviewed in the United Kingdom on October 19, 2016

Verified Purchase

One of the best books out there for this topic.

One person found this helpful

Hamed Gholamiangonabadi

Great Job!

Reviewed in Canada on December 13, 2013

Verified Purchase

They delivered the book within the schedule. The quality of the product and their services met my expectations. I definitely recommend this to others.

Amazon Kunde

Good but no DVD

Reviewed in Germany on July 11, 2017

Verified Purchase

The book seems to be very good and written by excellent authors. But unfortunately, if you buy the book via Amazon, they do not deliver any DVD with the book, which makes it difficult to follow the book.

Jenny G.

Misleading Title

Reviewed in the United Kingdom on November 14, 2017

Verified Purchase

I am going to return this book.
I think it could be helpful if you truely understand what this book is about before you place the order. Unfortunately, I did not. I thought this would be a book describing the 'methodology' of modelling cash CDO as it says on the cover and containing the information on rating agencies' approaches to modelling cash CDO as it says in the Contents. But it does neither. This book is all about how you use Excel given you ALREADY KNOW HOW TO MODEL CASH CDO. It tells you to type 'assumption A' in cell B20 and 'assumption B' in cell C30 so that you will have a nice output sheet (and kindly explains why there should be an output sheet). I have to say the author or editor must have some misunderstanding on the word 'methodology' which to me means the statistics (e.g. multivariate model, Gaussian Copula, regression, etc) behind the formulae you type in Excel or VBA rather than how you make your spreadsheet look nicer.
I guess I might have been a bit harsh giving only one star thinking the authors must have put a lot of effort in this book. The disappoint does not come from the content of the book (since I did not really read much), but the title and description which has caused confusion and gave me the hope that there finally was a book focusing on cash CDO modelling.

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