By Gunter Loeffler, Peter N. Posch

I purchased this e-book a month in the past. authors defined every thing in a lot more straightforward demeanour utilizing excel spreadsheet. notwithstanding, they need to have extra extra fabrics on themes concerning CDOs and CDS.

**Read or Download Credit Risk Modeling using Excel and VBA (The Wiley Finance Series) PDF**

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**Additional info for Credit Risk Modeling using Excel and VBA (The Wiley Finance Series)**

**Sample text**

Option pricing theory can help as it implies a relationship between the unobservable (At , ) and observable variables. For publicly traded firms, we observe the market value of equity, which is given by the share price multiplied with the number of outstanding shares. At maturity T , we can establish the following relationship between equity value and asset value (cf. 2): As long as the asset value is below the value of liabilities, the value of equity is zero as all assets are claimed by the bondholders.

From economic reasoning, we identify conditions under which we expect borrowers to default and then estimate the probability that these conditions come about to obtain an estimate of the default probability. e. the value of the firm) is not sufficient to cover the firm’s liabilities. Why should this be so? From the identity Asset value = Value of equity + Value of liabilities and the rule that equity holders receive the residual value of the firm, it follows that the value of equity is negative if the asset value is smaller than the value of liabilities.

Partly for this reason, EDFs are usually larger than the default probabilities we get from implementations as the ones we followed here. 2 The EDF™ measure by Moody’s KMV A commercial implementation of the Merton model is the EDF™ measure by Moody’s KMV (MKMV). Important modeling aspects are the following: • MKMV uses a modified Black–Scholes valuation model that allows for different types of liabilities. • In the model, default is triggered if the asset value falls below the sum of short-term debt plus a fraction of long-term debt.