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May 21

CreditMetrics spreadsheet

Posted by abiao at 19:23 | Code » VBA/Excel | Comments(8) | Reads(28895)
CreditMetrics is a framework for measuring credit risk of portfolios of traditional credit investments (for example, loans, commitments to lend, financial letters of credit), fixed income products, and market-driven instruments subject to counterparty default (swaps, forwards, etc.).

It is a lot more complex than RiskMetrics, and thus requires a deliberate inspection. Actually, within the CreditMetrics framework, users are confronted with a mixture of choices. For instance, CreditMetrics grants users to follow one of four different approaches to calculating correlation among several credit types-historical data, bond spreads, equity correlations or consistent constants.

Here is an Excel 7.0 spreadsheet demonstrating how to use CreditMetrics to compute credit risk of a portfolio, technical document is free to download at http://www.ma.hw.ac.uk/~mcneil/F79CR/CMTD1.pdf. Functions for calculating the CreditMetrics risk model in R are at: http://cran.r-project.org/web/packages/CreditMetrics/index.html

can i have the password to acces to the CreditMetrics spreadsheet please.
thanks you
Do you mean password for macro? I don't have problem to open this spreadsheet.
Should you have further problem, you can try contact the author directly at http://pachome2.pacific.net.sg/~coolwind/, hope it helps.
Hi, did you get the password to be able to access the macro code?
Marty, no, I don't have, you may contact the author directly for the password.
I can not download the excel file Can you help me ?
samuelddarden Email
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Pretty tidy as well as specific, all aspects are in the correct place.

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i agree Credit Metrics spreadsheet are more complex than risk metrics.

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