errata090501 is the latest Errata for the first edition. Note that some of those are corrected in the 2nd print of the 1st edition.
1 Estimating Credit Scores with Logit.
2 The Structural Approach to Default Prediction and
Column G in sheet T1 of “02merton.xls” reads
and should read
(thanks to M. Kruger)
3 Transition Matrices.
4 Prediction of Default and Transition Rates.
5 Modeling and Estimating Default Correlations
with the Asset Value Approach.
6 Measuring Credit Portfolio Risk with the
Asset Value Approach.
7 Validation of Rating Systems.
8 Validation of Credit Portfolio Models.
9 Risk-Neutral Default Probabilities and Credit Default
10 Risk Analysis of Structured Credit: CDOs and
11 Basel II and Internal Ratings.
Appendix A1 Visual Basics for Applications
Appendix A2 Solver.
Appendix A3 Maximum Likelihood Estimation and
Appendix A4 Testing and Goodness of Fit.
Appendix A5 User-Defined Functions.