Logit models, Halton numbers, maximum likelihood, the Berkowitz test, Brier Scores ... these are just a handful of the practical tools you will learn as you implement the models in this book. Using Excel and VBA, it walks readers through a number of credit-related applications, including credit scoring, structural models, portfolio default models and pricing models. Some familiarity with credit modeling, financial math and VBA are assumed. This book is perfect for quantitative professionals with a few years experience who want to broaden their modeling skills ...

Covers modeling of MBSs, ABSs and CDOs in Excel with VBA. The author presents a three-stage approach to modeling—loss generation, collateral cash flow modeling, and bond cash flow modeling. There are plenty of examples, focusing on subprime mortgage deals. You will learn about both securitizations and VBA, but prior knowledge of both is essential. Read Hayre (2001), Lucas, Goodman and Fabozzi (2006) and Jackson and Staunton (2001) first, if necessary ...

Allman covers the same topic as Tick (2007): practical modeling of MBSs, ABSs and CDOs in Excel, but they are very different books. Both are fairly sophisticated about the structured product features they model, but Allman's use of Excel is elementary. He employs only a little, simple VBA. Tick is more technical, making extensive use of object-oriented VBA. Allman is an easy read. Tick is a chore. If you are serious about the topic, read them both ...

Crystal Ball is a software add-in for Microsoft Excel that makes performing Monte Carlo simulations easy. The package competes with another, called @Risk. This book is largely a user's guide to Crystal Ball with some rudimentary financial applications. Honestly, Crystal Ball is pretty intuitive. You can pick it up in a half hour without this book. Still, a user's manual can be useful for clarifying issues or pointing out functionality you might otherwise miss ...

If you are a quantitative professional and you are using Excel without coding VBA macros or functions, this is likely to be the most important book you will read this year. VBA comes packaged with Excel. It converts spreadsheets from simple calculators into sophisticated computing environments ... Read more