 |
Credit Risk Modeling
using Excel and VBA
Gunter Löffler and Peter N. Posch John Wiley
and
Sons, Ltd.
Errata as of Dec 2007 |
Errata (updated 05/01/09 and partially corrected in 2nd print)
Comments/Questions? Send an email to:
1 Estimating Credit Scores with Logit.
2 The Structural Approach to Default Prediction and
Valuation. 02merton.xls
Column G in sheet T1 of "02merton.xls" reads
(B4+C4*EXP(-D4*1)*NORMSDIST(BSd1(F4,C4,1,D4,I$4)
and should read
(B4+C4*EXP(-D4*1)*NORMSDIST(BSd1(F4,C4,1,D4,I$4)-I$4)
(thanks to M. Kruger)
3 Transition Matrices.
4 Prediction of Default and Transition Rates.
5 Modeling and Estimating Default Correlations with the Asset Value Approach.
6 Measuring Credit Portfolio Risk with the Asset Value Approach.
7 Validation of Rating Systems.
8 Validation of Credit Portfolio Models.
9 Risk-Neutral Default Probabilities and Credit Default Swaps.
10 Risk Analysis of Structured Credit: CDOs and First-to-Default Swaps.
11 Basel II and Internal 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.
Impress/Disclaimer: While every effort has been made to ensure that the contents of the book and the DVD are accurate and reliable, we cannot assume liability for any damages caused by inaccuracies in the programs or documentation, or as a result of the failure of the data or software to function in a particular manner.
All trademarks and registered trademarks are the property of their respective owners.
Gunter Löffler and Peter N. Posch. c/o Institute of Finance, University of Ulm, Helmholtzstrasse 18, 89081 Ulm, Germany. Phone ++49-731-50-23598, Facsimile: ++49-731-50-23590. email: comments (at) loeffler (minus) posch (dot) com.