Research
23/05/2009 16:44
Collateral Management and Appraisal
Collateral management is the key in a bank's credit risk management. Collateral valuation is also very important to loss given default modeling and risk recovery prediction. This slide presents the...
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23/05/2009 14:20
Predictive Modeling on Probability of Default – Logit Model Using Microsoft Excel and VBA
Logistic regression is often used to estimate the probability of default in commercial loans against different types of borrowers (obligor’s PD model). Microsoft Excel is probably the most popular...
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21/05/2009 20:17
Predicting Default Risk Using Merton’s Model – a Case Study in Chinese Stock
This case study presents a simple spreadsheet-based version of Merton’s credit risk model (i.e., normally as KMV model) to predict default risk using a Chinese utility stock data (Quote:...
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29/04/2009 09:53
Calculation of Capital Cost of Equity (Godon Model & Capital Asset Pricing Model):
Calculation of Capital Cost of Equity (Godon Model & Capital Asset Pricing Model):
Download: Speadsheet
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27/04/2009 22:15
Credit Approval Process
Abstract
This article briefly introduces the general process of credit approval in a commercial bank. As the key of the loan structuring process, the contents of a loan agreement...
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16/04/2009 22:56
How to Measure Natural Gas Price Elasticity
In this case study, I’ll show you how to measure demand elasticities in the real world. We’ll develop a simple theory, write it down mathematically, find some data and crunch the numbers in...
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16/04/2009 22:45
Load Forecasting - a Simple EXCEL Spreadsheet
The attached spreadsheet shows a simple load forecasting model that includes only one weather & temperature related variables.
Load Forecasting Case Study
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05/12/2008 14:07
Credit Scoring Using Logistic Regression - An Auto Loan Case
This project involves the analysis of a dataset of auto-finance consumer data, including credit–bureau information, loan-application data, and company data regarding consumers’ performance since...
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27/11/2008 00:32
Asian Option Pricing Model Using Monte Carlo Simulation: Electricity Pricing Hedging Case Study
In competitive electricity markets, The volatility is rooted in the risks associated with holding assets when there is an uncertain risk associated with the future value of the assets. Industrial the...
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