Credit Risk Modeling Using Excel and VBA with DVD

Index

A1 referencing-cells method 300–1

Abs VBA functionw 8, 82, 112–13, 163–4, 304

accrued interest 39–43, 229–35, 326

accrued legs, CDOs 267–81

accuracy ratios

bootstrapped confidence intervals 187–a90

concepts 182–201, 292–7, 326

ACI function 229–35, 326

Add-ins 225–6, 307–8, 325–31

AGE predictive-factor variable 84

aging effects (AGE variable), candidate variables for predictions 84–107

all-running spreads 240–1, 263–72

[alt] + [f8] short-cut (running macros) 299

[alt] + [f11] short-cut (new macro/function) 299

Analysis ToolPak (ATP) 225–6, 325–31

apostrophes (comments) usage, code-editing concepts 305

appendices 25–6, 50–2, 78–82, 110–13, 126–9, 247, 282–4, 299–331

Application… 8–81, 19–26, 52, 58–9, 64–5, 75–7, 79–81, 111–13, 125, 143–5, 162, 166, 172, 174, 184, 188–9, 192, 210, 251–3, 261–2, 268–9, 274, 279–80, 284, 288, 294–6, 304–5

approximate generators, transition matrices 69–71

arbitrage 232–3, 266–7

arrays 4–42, 32–53, 55–82, 92, 138–42, 158–60, 169–70, 179, 183–201, 206–17, 235–6, 241–2, 251–84, 291–3, 301–6, 327–31 see also matrices

troubleshooting 78, 305–6

asset values see also total…

credit portfolios 149–90, 254–84

default correlations 131–47, 193–4, 256–84, 285–97

maximum likelihood estimation 131, 136–44, 145–7, 157–60

method of moments approach 131, 133–6, 140–1, 145–7

structural models of default risk 27–53, 132–3

asset-to-equity ratios 38–9

at-the-money options (ATM) 46–7

attach 251–3, 277–81

AUC 185–8

AVERAGE function 9, 17–18, 96–7, 113, 135–6, 145,