... performance as it is described in Chapter 7.
Credit risk modeling
usingExceland VBA
Gunter Löffler
Peter N. Posch
Credit risk modeling
usingExceland VBA
Gunter Löffler
Peter N. Posch
For other titles ... thus serving to
automate and standardize the evaluation of default risk within a financial institution.
In this chapter, we will show how to specify a scoring model using a statistical technique
called ... details.
•
Some Excel 2003 functions (e.g. BINOMDIST or CRITBINOM) have been changed
relative to earlier Excel versions. We’ve tested our programs on Excel 2003. If you’re
using an older Excel version,...
... eigenvalues and other
calculation procedures.
1.7 RELATED EXCEL WORKBOOKS
Part I which concentrates on Excel functions and procedures and understanding VBA has
three related workbooks, AMFEXCEL, VBSUB and ... q D 3% and D 20%. Expressions d
1
and d
2
are evaluated in cells G8 and G11, from which the cumulative normal probabilities
Nd
1
and Nd
2
in cells G9 and G12 are derived, usingExcel s ... density and for the
left-hand tail probability in cells C5 and D5 respectively. Both these formulas use the
general NORMDIST function with mean and standard deviation inputs set to 0 and 1
respectively....
... differentiate between two nominal rates by using r
m
to represent one
and r
k
to represent another.
Using (3) again: (1 + r
1
) = (1 + r
m
/m)
m
, and (1 + r
1
)
= ( 1 + r
k
/k)
k
so ... seeking, be equal to ∆%, and
draw a timeline for i
t
= f (time).
Example 1.11
12
Interest
Rate
Years to Maturity
Part I. Interest Rates and Foreign Exchange
16
Financial Modeling for Managers
1.4 ... r
1
and r
m
are related by the following formula:
(1 + r
1
) = (1 + r
m
/m)
m
(3)
so that:
r
1
= (1 + r
m
/m)
m
- 1 (4)
Let’s take a moment and look at Equations (3) and (4). The left hand...
... retail stores and affiliated pro shops. It plans to
28
Financial Modeling
with Crystal
Ball and Excel
JOHN CHARNES
John Wiley & Sons, Inc.
10 FINANCIALMODELING WITH CRYSTAL BALL AND EXCEL
■
Crystal ... to 90 percent in steps of 10 percent.
FIGURE 2.10 Step 1 in using the Decision Table tool.
8 FINANCIALMODELING WITH CRYSTAL BALL AND EXCEL
The term Monte Carlo originated in a conversation between ... Microsoft Excel (computer file) I. Title.
HG106.C485 2007
332.0285
554—dc22
2006033467
Printed in the United States of America.
10987654321
24 FINANCIALMODELING WITH CRYSTAL BALL AND EXCEL
FIGURE...
... College on Simulation, and proceedings coeditor (1996) and
program chair (2002) for the Winter Simulation Confererences.
xvii
Financial Modeling
with Crystal
Ball and Excel
JOHN CHARNES
John ... a rough approximation to reality.
4 FINANCIALMODELING WITH CRYSTAL BALL AND EXCEL
In short, probability and statistics help you weigh the potential rewards and
punishments associated with the ... if a random variable X follows the
normal distribution with mean, µ, and standard deviation, σ , then the random
variable Y = a +bX will also be normally distributed with mean, a +bµ ,and
standard...
... into stocks and one half into bonds. We call this
the 50–50 portfolio, and model it in the Excel file Accumulate.xls.
The model draws returns on stocks and bonds randomly for each year and
calculates ... 2.10 Step 1 in using the Decision Table tool.
18 FINANCIALMODELING WITH CRYSTAL BALL AND EXCEL
FIGURE 2.5 Frequency distributions depicting negative (Skewness =−2), positive (+2), and near-zero
(0.02) ... Figure 2.2, the
possible values range from $0 to $15 million, and are broken up into 15 equal
14 FINANCIALMODELING WITH CRYSTAL BALL AND EXCEL
FIGURE 2.3 Cumulative frequency chart showing accumulated...
... to offer for sale in its retail stores and affiliated pro shops. It plans to
28
32 FINANCIALMODELING WITH CRYSTAL BALL AND EXCEL
FIGURE 3.4 Defining the demand assumption for the Alaskan Golf purchase ... section, we will add assumptions and a forecast to the
deterministic model in AKGolf.xls to create a stochastic model.
30 FINANCIALMODELING WITH CRYSTAL BALL AND EXCEL
TABLE 3.1 Stochastic assumptions ... distribution, we assume that the lowest possible demand during
the season is 500 drivers, the largest possible demand is 1,500 drivers, and the most
likely demand is 800 drivers. These three parameters...
... Accountants in England and Wales,
and also with the equivalent institutes in Ireland and Scotland.
These seminars and workshops have mostly involved help-
ing accountants andfinancial managers ... always do this and to ensure that all updates and amendments
RISK OF GIGO
09_Y551_Ch03.indd 3509_Y551_Ch03.indd 35 11/19/2008 1:32:55 PM11/19/2008 1:32:55 PM
Financial Planning Using Excel
7
plan ... PM
Financial Planning Using Excel
44
HAVE A D ATA ANALYSIS OPTION AT THE TOP LEFT OF THE
D
ATA TAB) then you will need to activate this with the following
command:
T
OOLS : ADD- I NS and...
... (2001): “Procyclicality of the financial system andfinancial
stability: Issues and policy options” in “Marrying the macro- and micro-prudential dimensions
of financial stability”, BIS Papers, ...
References
Adrian, T and H Shin (2010): Financial intermediaries and monetary economics”, in B
Friedman and M Woodford (eds) Handbook of Monetary Economics, Vol 3, Amsterdam:
North Holland, pp 601-650. ...
associated with financial booms. The reason is simple: financial booms do not just flatter the
balance sheets and income statements of financial institutions and those to whom they lend
(Borio and Drehmann...
... 2007 Excel : Pivot Tables and Macros 21
EXERCISE 2
MACRO CREATION
In this exercise, you will add a new Macro.
1 .
You can create the Macro either by using the standard method or by using ...
MacroTemp
and click OK.
Academic Technology and Creative Services : Fall 2007 Excel : Pivot Tables and Macros 17
Run a Macro Without Using Keyboard Shortcuts
You don’t have to know a macro s ... 2007 Excel : Pivot Tables and Macros 15
TIP : If you want a macro to be available whenever you use Excel, select
Personal Macro Workbook. When you select Personal Macro Workbook, Excel...