{"product_id":"cash-cdo-modelling-in-excel-isbn-9780470741573","title":"Cash CDO Modelling in Excel","description":"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.   Foreword.  \u003cp\u003eAcknowledgments.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 Introduction.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 To Excel or Not to Excel?\u003c\/p\u003e \u003cp\u003e1.2 Existing Tools and Software.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 What is a Cash CDOs?\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Types of CDOs.\u003c\/p\u003e \u003cp\u003e2.2 Description of a Cash Flow CDO.\u003c\/p\u003e \u003cp\u003e2.3 Life Cycle of a Cash CDO.\u003c\/p\u003e \u003cp\u003e2.4 Contribution to the “Credit Crunch”.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Introduction to Modelling.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Goals in Modelling.\u003c\/p\u003e \u003cp\u003e3.2 Modelling Philosophies and Trade-Offs.\u003c\/p\u003e \u003cp\u003e3.3 Flexibility.\u003c\/p\u003e \u003cp\u003e3.4 Organization and Layout of a Model.\u003c\/p\u003e \u003cp\u003e3.5 Life-Cycle Issues: Building an Adaptable Model.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Prerequisites to Cash Flow Modelling.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Modelling Dates.\u003c\/p\u003e \u003cp\u003e4.2 Interest Rate Curve Modelling.\u003c\/p\u003e \u003cp\u003e4.3 Present Value Modelling.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Getting Started.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Create the Input Sheet.\u003c\/p\u003e \u003cp\u003e5.2 The Value of Labelling.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Modelling Assets.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Initial Asset Pool: Rep Line Modelling vs. Actual Assets.\u003c\/p\u003e \u003cp\u003e6.2 The Collateral Sheet in the Cash Flow Model.\u003c\/p\u003e \u003cp\u003e6.3 Modelling Defaults and Recoveries.\u003c\/p\u003e \u003cp\u003e6.4 Amortization.\u003c\/p\u003e \u003cp\u003e6.5 Modelling Reinvestment.\u003c\/p\u003e \u003cp\u003e6.6 Reinvestment Cohorts.\u003c\/p\u003e \u003cp\u003e6.7 Accounts.\u003c\/p\u003e \u003cp\u003e6.8 Timing Models vs. Actual Timing.\u003c\/p\u003e \u003cp\u003e6.9 Simple Warehouse Modelling.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Basic Waterfall Modelling.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Basic Waterfalls.\u003c\/p\u003e \u003cp\u003e7.2 Layout and Design.\u003c\/p\u003e \u003cp\u003e7.3 Avoiding Negative Values.\u003c\/p\u003e \u003cp\u003e7.4 Timing Modelled vs. Actual Timing.\u003c\/p\u003e \u003cp\u003e7.5 Liabilities Cash Flows.\u003c\/p\u003e \u003cp\u003e7.6 Fees and Expenses Cash Flows.\u003c\/p\u003e \u003cp\u003e7.7 Interest Waterfall.\u003c\/p\u003e \u003cp\u003e7.8 Interest Waterfall (Available Funds after Payment).\u003c\/p\u003e \u003cp\u003e7.9 Interest Waterfall Calculations.\u003c\/p\u003e \u003cp\u003e7.10 Principal Waterfall.\u003c\/p\u003e \u003cp\u003e7.11 Principle Waterfall (Available Funds after Payment).\u003c\/p\u003e \u003cp\u003e7.12 Principal Waterfall Calculations.\u003c\/p\u003e \u003cp\u003e7.13 Adding Over-Collaterization Tests.\u003c\/p\u003e \u003cp\u003e7.14 Adding Interest Coverage Tests.\u003c\/p\u003e \u003cp\u003e7.15 Technical Issues with Coverage Tests.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 Outputs Sheet.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 Purpose of the Outputs Sheet.\u003c\/p\u003e \u003cp\u003e8.2 Collating Waterfall Outputs.\u003c\/p\u003e \u003cp\u003e8.3 Present Value.\u003c\/p\u003e \u003cp\u003e8.4 Duration.\u003c\/p\u003e \u003cp\u003e8.5 Weighted Average Life and Internal Rate of Return.\u003c\/p\u003e \u003cp\u003e8.6 Equity Analysis.\u003c\/p\u003e \u003cp\u003e8.7 Basic Auditing.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 Moody’s Rating Agency Methodology.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1 Introduction to Agency Methodologies.\u003c\/p\u003e \u003cp\u003e9.2 The Bet Approach.\u003c\/p\u003e \u003cp\u003e9.3 Evaluating the Collateral.\u003c\/p\u003e \u003cp\u003e9.4 Creating the Moody’s Sheet and Related References in the Cash Flow Model.\u003c\/p\u003e \u003cp\u003e9.5 Default Profiles.\u003c\/p\u003e \u003cp\u003e9.6 Interest Rate Profiles.\u003c\/p\u003e \u003cp\u003e9.7 Running the Analysis.\u003c\/p\u003e \u003cp\u003e9.8 Variations on the BET.\u003c\/p\u003e \u003cp\u003e9.9 2009 Methodology Update.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10 Standard \u0026amp; Poor’s Rating Methodology.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e10.1 The S\u0026amp;P Approach.\u003c\/p\u003e \u003cp\u003e10.2 Evaluating the Collateral.\u003c\/p\u003e \u003cp\u003e10.3 Modelling Recovery Rates.\u003c\/p\u003e \u003cp\u003e10.4 CDO Evaluator.\u003c\/p\u003e \u003cp\u003e10.5 Default Rates.\u003c\/p\u003e \u003cp\u003e10.6 Interest Rate Stresses.\u003c\/p\u003e \u003cp\u003e10.7 Amortization.\u003c\/p\u003e \u003cp\u003e10.8 Additional S\u0026amp;P Modelling Criteria.\u003c\/p\u003e \u003cp\u003e10.9 Building the S7P Sheet and Related References.\u003c\/p\u003e \u003cp\u003e10.10 Running the Stress Scenarios.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e11 Advanced Waterfall Modelling.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e11.1 Hedge Agreements.\u003c\/p\u003e \u003cp\u003e11.2 Fixed Notes.\u003c\/p\u003e \u003cp\u003e11.3 Variable Funding Notes.\u003c\/p\u003e \u003cp\u003e11.4 Liquidity Facilities.\u003c\/p\u003e \u003cp\u003e11.5 Interest Reserve Accounts.\u003c\/p\u003e \u003cp\u003e11.6 Other Structural Features.\u003c\/p\u003e \u003cp\u003e11.7 Combination Notes.\u003c\/p\u003e \u003cp\u003e11.8 Collateral Manager Equity Analysis.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e12 Maintaining the Cash Flow Model.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e12.1 Adapting Your Model for Different Capital Structures.\u003c\/p\u003e \u003cp\u003e12.2 Audit Sheet.\u003c\/p\u003e \u003cp\u003e12.3 Debugging.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e13 Advanced Structuring Issues.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e13.1 Projecting Accrued Interest.\u003c\/p\u003e \u003cp\u003e13.2 Collating Collateral Cash Flows.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e14 Sourcing and Integrating Data From External Systems.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e14.1 Data Requirements.\u003c\/p\u003e \u003cp\u003e14.2 Trustee Reports.\u003c\/p\u003e \u003cp\u003e14.3 Bloomberg.\u003c\/p\u003e \u003cp\u003e14.4 Loan Level Information Sources.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e15 Regulatory Applications of CDO Technology.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e15.1 The Basel Accords.\u003c\/p\u003e \u003cp\u003e15.2 Regulatory Capital Requirements for CDO Notes.\u003c\/p\u003e \u003cp\u003e15.3 The Standardized Approach for CDOs.\u003c\/p\u003e \u003cp\u003e15.4 The Internal Ratings-Based Approach for CDOs.\u003c\/p\u003e \u003cp\u003e15.5 The Internal Ratings-Based Approach for CDOs: The Ratings-Based Approach.\u003c\/p\u003e \u003cp\u003e15.6 The Internal Ratings-Based Approach for CDOs: The Supervisory Formula Approach.\u003c\/p\u003e \u003cp\u003e15.7 The Internal Ratings-Based Approach: Liquidity Facilities, Overlapping Exposures, Credit Risk Mitigation and Early Amortization Features.\u003c\/p\u003e \u003cp\u003e15.8 Supervisory Provisions.\u003c\/p\u003e \u003cp\u003e15.9 Updates to Basel II.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e16 CDO Valuation.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e16.1 Introduction.\u003c\/p\u003e \u003cp\u003e16.2 Basic Valuation Approaches.\u003c\/p\u003e \u003cp\u003e16.3 Traditional Underwriter Analysis.\u003c\/p\u003e \u003cp\u003e16.4 Fundamental Cash Flow Analysis.\u003c\/p\u003e \u003cp\u003e16.5 Using Rating Agency Models.\u003c\/p\u003e \u003cp\u003e16.6 Transition Matrices.\u003c\/p\u003e \u003cp\u003e16.7 Conclusion.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e17 In Conclusion.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIndex.\u003c\/p\u003e   \u003cp\u003e\u003cb\u003e\u003ci\u003eAbout the authors\u003c\/i\u003e\u003c\/b\u003e  \u003c\/p\u003e\u003cp\u003e\u003cb\u003eDARREN SMITH,\u003c\/b\u003e London, UK, currently heads the Credit Structuring team at WestLB. He has over 12 years' experience in the cash CDO market, and has executed numerous transactions in asset classes as diverse as loans, bonds, emerging market bonds, asset backed securities, CDOs and credit default swaps. Prior to WestLB Darren worked in CDOs at PaineWebber, UBS, and was co-head of CDOs at Dresdner Kleinwort. He has spoken at numerous conferences including the Global ABS Conference, Barcelona, and CDO Europe conferences sponsored by Opal. Darren holds a bachelor's degree in Electronic Engineering from the University of South Australia.  \u003c\/p\u003e\u003cp\u003e\u003cb\u003ePAMELA WINCHIE,\u003c\/b\u003e London, UK, is currently a Managing Director at Cross Point Capital, London. Prior to this Pamela held positions as a Director in the European CDO group at Barclays Capital, and a Director in the CDO group at Dresdner Kleinwort. She has over 10 years' experience both as a cash CDO structurer and as a lawyer involved in corporate, securities and securitization law. She has modelled and structured numerous CDOs in various currencies with a range of underlying assets and has spoken at a number of conferences including the CRE-CDO Summit, London, the European CDOs \u0026amp; Credit Derivatives Conference sponsored by IMN and the International Structured Product Conference. Pamela holds a bachelor's degree in Mathematics and Statistics from the University of Western Ontario and a Juris Doctor from Osgoode Hall Law School.     \u003c\/p\u003e\u003cp\u003e\u003cb\u003eCash CDO modelling in Excel\u003c\/b\u003e  \u003c\/p\u003e\u003cp\u003e\"Cash CDO Modelling in Excel\u003cb\u003e\u003c\/b\u003e \u003ci\u003eis 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.\u003c\/i\u003e\"\u003cbr\u003e \u003cb\u003eAndrew Jarmolkiewicz,\u003c\/b\u003e Head of Structuring, Cairn Capital Limited  \u003c\/p\u003e\u003cp\u003e\"\u003ci\u003eTo 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.\u003c\/i\u003e\"\u003cbr\u003e \u003cb\u003eHiram R. Hamilton,\u003c\/b\u003e Head of Structured Products, Alcentra Limited     \u003c\/p\u003e\u003cp\u003e\u003cb\u003eCash CDO modelling in Excel A Step by Step Approach\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003e\u003cb\u003eDarren Smith and Pamela Winchie\u003c\/b\u003e  \u003c\/p\u003e\u003cp\u003eWritten 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.  \u003c\/p\u003e\u003cp\u003eIt 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.  \u003c\/p\u003e\u003cp\u003eThe 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.  \u003c\/p\u003e\u003cp\u003e\u003cb\u003e\u003ci\u003eKey features include…\u003c\/i\u003e\u003c\/b\u003e \u003c\/p\u003e\u003cul\u003e \u003cli\u003eIntroduction to the types of CDOs;\u003c\/li\u003e \u003cli\u003eDescription and life cycle of a cash CDO;\u003c\/li\u003e \u003cli\u003eHow CDOs contributed to the recent financial crisis;\u003c\/li\u003e \u003cli\u003eIntroduction to modelling, including simple warehouse modelling and waterfall modelling;\u003c\/li\u003e \u003cli\u003eMoody's Rating Agency methodology;\u003c\/li\u003e \u003cli\u003eThe BET approach;\u003c\/li\u003e \u003cli\u003eModelling the collateral;\u003c\/li\u003e \u003cli\u003eThe Standard \u0026amp; Poor's Approach;\u003c\/li\u003e \u003cli\u003eModelling recovery rates;\u003c\/li\u003e \u003cli\u003eCollateral manager equity analysis;\u003c\/li\u003e \u003cli\u003eBloomberg;\u003c\/li\u003e \u003cli\u003eRegulatory applications of CDO technology;\u003c\/li\u003e \u003cli\u003eThe Basel Accords.\u003c\/li\u003e \u003c\/ul\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47988891255013,"sku":"NP9780470741573","price":87.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780470741573.jpg?v=1761781941","url":"https:\/\/k12savings.com\/es\/products\/cash-cdo-modelling-in-excel-isbn-9780470741573","provider":"K12savings","version":"1.0","type":"link"}