{"product_id":"cash-cdo-modelling-in-excel-a-step-by-step-approach-hardback-9780470741573","title":"Cash CDO Modelling in Excel; A Step by Step Approach (Hardback) 9780470741573","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eCash CDO Modelling in Excel\u003c\/font\u003e\u003cbr\u003e\r\n\u003cfont size=\"5\"\u003eA Step by Step Approach\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\u003cp\u003e\u003cfont size=\"4\"\u003eDarren Smith (Author), Pamela Winchie (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9780470741573, Wiley\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 21 May 2010\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e360 pages\u003cbr\u003e25.2 x 17.8 x 2.6 cm, 0.767 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003eThis 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. \u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eForeword.  \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\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Finance \u0026amp; accounting [\u003ca title=\"See our other books on Finance \u0026amp; accounting\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Finance%20\u0026amp;%20accounting%20%5BKF%5D%22\"\u003eKF\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Wiley","offers":[{"title":"Brand 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