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 used software in daily banking business work. However, the logistic regression model function is not captured by Excel. In this case study, I developed a Visual Basic Application (VBA) add-in in Excel...

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 from 2008 to 2009. Due to the limitation of data availability in developing country such as China, the option-based modeling approach is...

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Two simple case studies were added into the Case Study regarding natural gas price elasticity and power load forecasting.

Wall Street indices predicted nine out of the last five recessions!