Cash CDO Modeling in Excel

Smith, Darren; Winchie, Pamela

ISBN 10: 0470741570 ISBN 13: 9780470741573

Publisher: Wiley, 2010

Synopsis

NOTE: CD-ROM content is available online and CD-ROM is not included with the book.

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.

About this title

From the Back Cover:

Cash CDO modelling in Excel A Step by Step Approach

Darren Smith and Pamela Winchie

Written by leading experts Darren Smith and Pamela Winchie, this book introduces the modelling 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 modelling 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 modelling, including simple warehouse modelling and waterfall modelling;
• Moody's Rating Agency methodology;
• The BET approach;
• Modelling the collateral;
• The Standard & Poor's Approach;
• Modelling recovery rates;
• Collateral manager equity analysis;
• Bloomberg;
• Regulatory applications of CDO technology;
• The Basel Accords.

From the Inside Flap:

Cash CDO modelling in Excel

"Cash CDO Modelling in Excel is the essential guide for anybody needing to analyse CDO economics and cashflows accurately and to the standards of market professionals. Beyond this the wealth of clearly written explanations on CDO structural features and components will provide the necessary technical understanding that is crucial for investors in these products but is so hard to acquire elsewhere."
Andrew Jarmolkiewicz, Head of Structuring, Cairn Capital Limited

"To understand cash CDOs is to understand cashflow waterfalls and their sensitivity to key variables. Building a CDO model from CTRL N is the single best way to really get it. This handbook offers an excellent overview of the techniques used to model CDOs in Excel."
Hiram R. Hamilton, Head of Structured Products, Alcentra Limited

About this edition

• Publisher: Wiley
• Publication date: 2010
• ISBN 10: 0470741570
• ISBN 13: 9780470741573
• Binding: Product Bundle
• Edition number: 1
• Number of pages: 352