Cash CDO Modelling in Excel: A Step by Step Approach: 517 (The Wiley Finance Series) - Tapa dura

Reseña del editor

This book is an introduction to the modelling of cash collateralised debt obligations ( CDOs ). It is intended that the reader have a basic understanding of CDOs and a basic working knowledge of Microsoft Office Excel. There will be written explanations of concepts along with understandable mathematical explanations and examples provided in Excel. A CD-ROM containing these Excel examples will accompany the book.

Contraportada

Written by leading experts Darren Smith and Pamela Winchie, this book introduces the modeling of cash flow collateralised debt obligations (CDOs), including construction of cash flows for both the underlying collateral and the issued notes, the evaluation of default probabilities and expected losses for rating agencies, and techniques and approaches that investors may use to value them.

It takes a step by step approach to building a rudimentary model so that readers will have a useful tool to evaluate cash flow CDOs and a template that can be built upon to suit personal taste and requirements.

The book expounds the authors’ views on best practice and utilises their experiences in discussing the advantages and disadvantages of different approaches, introducing and discussing the merits of a range of tools and software including CDO management systems usually provided by trustees or other third parties to enable investors and asset managers to evaluate changes to the underlying asset/risk portfolio; third party data and modeling systems mainly used by investors to track their portfolios without the onerous task of updating from trustee reports; and rating agency supplied systems such as Moody’s Investor Services.

Key features include...

• Introduction to the types of CDOs
• Description and life cycle of a cash CDO
• How CDOs contributed to the recent financial crisis
• Introduction to modeling including simple warehouse modeling and waterfall modeling
• Moody’s Rating Agency methodology
• The BET approach
• Modelling the collateral
• The Standard & Poor’s Approach
• Modelling recovering rates
• Collateral manager equity analysis
• Bloomberg
• Regulatory applications of CDO technology
• The Basel Accords