Lecciones de Microeconomia

Book Description

In today's increasingly competitive financial world, successful risk management, portfolio management, and financial structuring demand more than up-to-date financial know-how. They also call for quantitative expertise, including the ability to effectively apply mathematical modeling tools and techniques, in this case credit.

Credit Risk Modeling using Excel and VBA with DVD provides practitioners with a hands on introduction to credit risk modeling. Instead of just presenting analytical methods it shows how to implement them using Excel and VBA, in addition to a detailed description in the text a DVD guides readers step by step through the implementation. The authors begin by showing how to use option theoretic and statistical models to estimate a borrowers default risk. The second half of the book is devoted to credit portfolio risk. The authors guide readers through the implementation of a credit risk model, show how portfolio models can be validated or used to access structured credit products like CDO’s. The final chapters address modeling issues associated with the new Basel Accord.

Customer Reviews:

very good guide to credit risk modeling.......2007-08-10

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.

Very useful manual.......2007-07-05

A very instructive and useful manual that disclose on a simple and in excel sheet programable way the great secretes of some most popular vendors modules. For every one who is puzzeled with high sofisticted formula for the simple things

Credit Risk Modeling using Excel and VBA .......2007-07-03

The book is a very good guide for anyone who is not familiar with Excel, VBA and or credit risk modelling. Even for the more experienced practitioner there is something to learn. For anyone wanting a practical guide I would thoroughly recommend this book.

Average customer rating:

Could have been much better
Another math book

Credit Risk
Tomasz R. Bielecki , and Marek Rutkowski
Manufacturer: Springer
ProductGroup: Book
Binding: Hardcover

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ASIN: 3540675930

Book Description

The main objective of Credit Risk: Modeling, Valuation and Hedging is to present a comprehensive survey of the past developments in the area of credit risk research, as well as to put forth the most recent advancements in this field. An important aspect of this text is that it attempts to bridge the gap between the mathematical theory of credit risk and the financial practice, which serves as the motivation for the mathematical modeling studied in the book. Mathematical developments are presented in a thorough manner and cover the structural (value-of-the-firm) and the reduced (intensity-based) approaches to credit risk modeling, applied both to single and to multiple defaults. In particular, the book offers a detailed study of various arbitrage-free models of defaultable term structures with several rating grades.

Customer Reviews:

Could have been much better.......2002-09-03

In summary, this book is a disappointment. It presents a lot of material in an inaccessible way and doesn't provide solid explanations/proofs for a lot of material. It is also largley mathematical as opposed to the far superior 'Martingale methods in finance' by the same author, which takes the time to talk about applications to finance. As a credit derivatives quantitative analyst I was already familiar with the material in the text and that is the only reason why I understood it. It attempts to bridge the gap between theory and practice but in my opnion achieves neither.

Another math book.......2002-05-09

This is another typical book written by mathematician, and for mathematician. What can one learn from this book? Basically not much. If you don't really know much about credit risk, you still won't know after much after you read the book. If you are a quant, this book definitely won't help you much.

Who might need this book? If you are a mathemtician with research interest in probablity, AND you like the book "Martingale Methods in Financial Markets" by Musiela and Rotkowski, you might want to buy this book.

Average customer rating:

Good book on counterparty risk

Counterparty Credit Risk Modelling: Risk Management Pricing and Regulation

Manufacturer: Risk Books
ProductGroup: Book
Binding: Hardcover

Banks & Banking | Industries & Professions | Business & Investing | Subjects | Books
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Quantitative Risk Management: Concepts, Techniques, and Tools (Princeton Series in Finance)

A Guide to Quantitative Finance: Tools and Techniques for Understanding and Implementing Financial Analytics

Recovery Risk: The Next Challenge in Credit Risk Management

Credit Risk Management and Basel II

Modeling Structured Finance Cash Flows with Microsoft Excel: A Step-by-Step Guide.Book & CD-ROM

ASIN: 190433976X

Product Description

To enhance your understanding of the risk management, pricing and regulation of counterparty credit risk, this new title offers the most detailed and comprehensive coverage available. Michael Pykhtin, a globally respected expert in credit risk, has combed the industryâs most important organisations to assemble a winning team of specialist contributors â presenting you with an insiderâs view of all the main elements of counterparty credit risk and how it will develop in the future. This new book brings you up-to-date with the very latest developments and innovations in modelling counterparty risk. Offers a detailed and topical analysis of the Basel Committeeâs new regulatory capital rules for counterparty credit risk and the underlying models â and explains the changes Basel II will bring. You will learn from authors representing the cream of academia as well as the worldâs leading financial and regulatory bodies â many of whom actively participated in the consultations between the industry and regulatory agencies on the new Basel II rules. Topics covered include: modelling collateral agreements, the development of conditional pricing methodology, modelling exposures for credit-sensitive instruments, the development of analytical methods for portfolio credit risk, emergence of expected positive exposure as the foundation for loan equivalent exposure, and the pricing of counterparty risk for credit-sensitive instruments. Additionally, the book reviews already established modelling concepts and methods. A comprehensive reference of lasting value â an essential learning tool for anyone involved with counterparty credit risk.

Customer Reviews:

Good book on counterparty risk.......2007-08-01

This books covers the latest in counterparty risk in an elegant manner. Being part of a multilateral institution, this boook came in handy. A word of caution, though: while this book is no doubt a wonderful find, it may not be very useful for the novice in counterparty risk.

Credit Risk Modelling: The Cutting-edge Collection - Technical Papers published in Risk 1999-2003

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Credit Risk Modelling: The Cutting-edge Collection - Technical Papers published in Risk 1999-2003
Michael Gordy
Manufacturer: Risk Books
ProductGroup: Book
Binding: Hardcover

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ASIN: 1904339085

Book Description

A unique volume that brings together the most innovative and instrumental papers on credit risk modelling to reflect the major developments to date. This volume also focuses on the influences that are currently shaping the industry.

Designed in order for readers to easily familiarise themselves with all the leading authorities, ideas and techniques used in today's business.

The papers are subdivided into easy-reference sections that include credit portfolio modelling and measurement, credit derivatives, default models and prediction, and credit risk modelling in relation to Basel II. Introduced by Michael Gordy, who illustrates the significance that each chapter has on modern credit practice. Allows the reader to compare and contrast two different philosophies in credit risk modelling - "structural models" and "reduced-form models". Covers the statistical and financial tools that lie behind credit risk theory and management in addition to offering a comprehensive treatment of the pricing of credit derivatives, including credit swaps and CDOs. Includes detailed analysis on the basic parameters that dominate credit risk modelling, such as default probabilities, credit ratings, rating transitions and recovery rates.

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Credit risk and sustainable debt: a model and estimations of why the Euro is stable in the long-run [An article from: Economic Modelling]
W. Semmler , and P. Wohrmann
Manufacturer: Elsevier
ProductGroup: Book
Binding: Digital

Elsevier | By Publisher | e-Docs | Formats | Books
ASIN: B000RR3SA0

Book Description

This digital document is a journal article from Economic Modelling, published by Elsevier in 2004. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
Sustainable debt has become the key issue in rating of private as well as sovereign debtors. The problem of how to estimate sustainable debt has also been at the center of the debate over the Asian 1997-1998 financial crisis. If the external value of the currency depends on the external debt of a country, it is necessary to estimate the creditworthiness of the country. This paper studies credit risk and sustainable debt in the context of a dynamic model. For a dynamic growth model with an additional equation for the evolution of debt, we demonstrate of how to compute sustainable debt and creditworthiness. The model is estimated by employing time series data for the core countries of the Euro-area. The computations show that the Euro-area has large external assets. Using time series methods, the sustainability of external debt (assets) is estimated for those core countries of the Euro-area. Those estimations show that the Euro will be a stable currency in the long-run.

An empirical investigation of the loan concentration risk in Latin America [An article from: Journal of Multinational Financial Management]

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An empirical investigation of the loan concentration risk in Latin America [An article from: Journal of Multinational Financial Management]
E. Kalotychou , and S.K. Staikouras
Manufacturer: Elsevier
ProductGroup: Book
Binding: Digital

Elsevier | By Publisher | e-Docs | Formats | Books
ASIN: B000P6XKME

Book Description

This digital document is a journal article from Journal of Multinational Financial Management, published by Elsevier in 2006. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
The paper sets out to explore the factors affecting the credit quality of the Latin American region. Specifically, a logit framework is employed based on macroeconomic and financial data to determine the causes of Latin American debt crises in the last two decades. The analysis uses a modification of the default indicator to explicitly incorporate country arrear capacity. A number of domestic and international signals are found to be important in determining earlier as well as recent incidents. Domestic fundamentals, however, bear a much heavier weight than global conditions, implying that policy-makers still enjoy some freedom in preventing crises by monitoring country vulnerability. Furthermore, the study focuses on the out-of-sample classification accuracy of the proposed estimator using various criteria and provides 1-, 2- and 3-year-ahead forecasts for country default probabilities. Predictive performance is satisfactory with a reasonable reduction in accuracy in the out-of-sample period. Nevertheless, the findings indicate an upward bias towards type II errors.

Implied migration rates from credit barrier models [An article from: Journal of Banking and Finance]

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Implied migration rates from credit barrier models [An article from: Journal of Banking and Finance]
C. Albanese , and O.X. Chen
Manufacturer: Elsevier
ProductGroup: Book
Binding: Digital

Credit Ratings & Repair | Personal Finance | Business & Investing | Subjects | Books
ASIN: B000RR6MUS

Book Description

This digital document is a journal article from Journal of Banking and Finance, published by Elsevier in . The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
The risk-neutral credit migration process captures quantitative information which is relevant to the pricing theory and risk management of credit derivatives. In this article, we derive implied migration rates by means of a recently introduced credit barrier model which is calibrated on the basis of aggregate information such as credit migration rates and credit spread curves. The model is characterized by an underlying stochastic process that represents credit quality, and default events are associated to barrier crossings. The stochastic process has state dependent volatility and jumps which are estimated by using empirical migration and default rates. A risk-neutralizing drift and forward liquidity spreads are estimated to consistently match the average spread curves corresponding to all the various ratings. The implied migration rates obtained with our credit barrier model are then compared with those obtained via the Kijima-Komoribayashi model.

Interaction of credit and liquidity risks: Modelling and valuation [An article from: Journal of Banking and Finance]

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Interaction of credit and liquidity risks: Modelling and valuation [An article from: Journal of Banking and Finance]
H. Zheng
Manufacturer: Elsevier
ProductGroup: Book
Binding: Digital
ASIN: B000RR6MSU

Book Description

This digital document is a journal article from Journal of Banking and Finance, published by Elsevier in . The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.

Description:
In this paper we discuss the interaction of default risk and liquidity risk on pricing financial contracts. We show that two risks are almost indistinguishable if the underlying contract has non-negative values; however, if it can take both positive and negative values then these two risks demand different risk premiums depending on their loss rates and distributions. We discuss a structural default model and a discrete time default model with exponentially distributed liquidity shocks. We show that short-term yield spreads are dominated by liquidity risk rather than credit risk. We suggest a two-stage procedure to calibrate the model with one scalar optimization problem and one linear programming problem.

Credit risk modeling with affine processes

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Credit risk modeling with affine processes
Darrel Duffie
Manufacturer: Edizioni della Normale
ProductGroup: Book
Binding: Paperback

General | Mathematics | Science | Subjects | Books

Book Description

This is a written version of the Cattedra Galileiana lectures, presented in 2002 at the Scuola Normale in Pisa. The objective is to combine an orientation to credit-risk modeling (emphasizing the valuation of corporate debt and credit derivatives) with an introduction to the analytical tractability and richness of affine state processes. This is not a general survey of either topic, but rather is designed to introduce researchers with some background in mathematics to a useful set of modeling techniques and an interesting set of applications.

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Credit Risk Modelling

Manufacturer: Cambridge University Press
ProductGroup: Book
Binding: Hardcover
ASIN: 0521869285

Book Description

Now in paperback, the book THE WALL STREET JOURNAL called "required reading for anyone itching to know what happened at Big Blue." A behind-the-scenes look at the dramtic fall of IBM.

Customer Reviews:

The single best book for understanding the computer industry.......1998-07-19

Computer Wars remains the single best book for understanding the computer industry, both software and hardware. When people outside the industry ask why both Netscape and Microsoft have decided to lose a barrel of money by developing WWW browsers and giving them away, give them a copy of this book.

A great book.......1998-05-11

This is a book book, if you like the subject. The first 1/3 tells the story of the collapse of IBM, and the rest of the book goes into the buissness aspects of what went wrong and what to do in the future. Great if you like either buissness or computers in general.

How the war was lost.......1997-09-15

This book was in interesting book that went into the details. It clearly explaines the details of how IBM lost the war with the best technology in the world.

Great job of putting the computer industry in perspective........1997-06-22

This book details how the modern computer industry came into being. Who the players were, how they fought for domiance, who won, who lost, and why. The authors cleary delineate the pivotal points that shape today's competitive landscape. For instance when Intel and Microsoft stole the day from IBM.For anyone even casually interested in the computer industry, this is a fasinating and easy read

Customer Reviews:

American Labor's Opportunity.......2005-02-22

In this edited examination of central labor councils in the United States Ness and Eimer provide a comprehensive examination of the challenges and opportunities that the U.S. labor movement has in activating the dormant labor councils. The writers demonstrate that U.S. labor councils have a long history that veer from their counterparts elsewhere, they represent powerful building blocks toward a stronger workers movement.

Now that the U.S. national unions are examining structure once again, they must take note of the work of this book, which is as relevant today as ever. Unions simply will not expand through using their leverage unless they view see labor in its new iteration--one that is dispersed throughout metropolitan regions. Perhaps the most daring AFL-CIO effort is the restructuring of its own house. The editors and writers of this book provide a field guide on how to transform unions and build worker power. This book provides concrete studies of Los Angeles, Milwaukee, King Conty (Seattle) and San Jose and Silicon Valley.

Among the contributors are the leading analysts of American labor today: Stephanie Luce, Immanuel Ness, Joel Rogers, and Stewart Acuff.

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