Credit Risk Modeling with R and EXCEL

  • Credit Grades Estimating Probability of Default

  • Structural Models for Default Prediction Merton Model 1Year Horizon

  • Structural Models for Default Prediction Merton Model Multiyear Horizon and Credit Spreads

  • Computation of credit spreads from Empirical Ratings migration matrix

  • Credit Value at Risk for a portfolio using Simulation

  • Credit RiskPlus model for evaluating credit risk of a portfolio of counterparties

  • Pricing and valuing credit default swaps

  • Appendix Credit Risks and Credit Derivatives

  • Credit Classification using Decision Trees