×

Research and Markets: Cash Collateralised Debt Obligations (CDO) Modelling in Excel: a Step by Step Approach

DUBLIN, Nov 12, 2010 (BUSINESS WIRE) -- Research and Markets (http://www.researchandmarkets.com/research/ae7a6e/cash_cdo_modelling) has announced the addition of John Wiley and Sons Ltd's book "Cash CDO Modeling in Excel: A Step by Step Approach" to their offering.

This book is an introduction to the modeling 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.

Full Table of Contents Includes: 1 Introduction. 1.1 To Excel or Not to Excel? 1.2 Existing Tools and Software.

2 What is a Cash CDOs? 2.1 Types of CDOs. 2.2 Description of a Cash Flow CDO.

2.3 Life Cycle of a Cash CDO. 2.4 Contribution to the "Credit Crunch".

3 Introduction to Modeling. 3.1 Goals in Modeling. 3.2 Modeling Philosophies and Trade-Offs. 3.3 Flexibility. 3.4 Organization and Layout of a Model. 3.5 Life-Cycle Issues: Building an Adaptable Model.

4 Prerequisites to Cash Flow Modeling. 4.1 Modeling Dates. 4.2 Interest Rate Curve Modeling. 4.3 Present Value Modeling.

5 Getting Started. 5.1 Create the Input Sheet. 5.2 The Value of Labeling.

6 Modeling Assets. 6.1 Initial Asset Pool: Rep Line Modeling vs. Actual Assets.

6.2 The Collateral Sheet in the Cash Flow Model. 6.3 Modeling Defaults and Recoveries. 6.4 Amortization. 6.5 Modeling Reinvestment. 6.6 Reinvestment Cohorts. 6.7 Accounts. 6.8 Timing Models vs. Actual Timing. 6.9 Simple Warehouse Modeling.

7 Basic Waterfall Modeling. 7.1 Basic Waterfalls. 7.2 Layout and Design. 7.3 Avoiding Negative Values. 7.4 Timing Modeled vs. Actual Timing. 7.5 Liabilities Cash Flows. 7.6 Fees and Expenses Cash Flows. 7.7 Interest Waterfall. 7.8 Interest Waterfall (Available Funds after Payment). 7.9 Interest Waterfall Calculations. 7.10 Principal Waterfall. 7.11 Principle Waterfall (Available Funds after Payment). 7.12 Principal Waterfall Calculations. 7.13 Adding Over-Collaterization Tests. 7.14 Adding Interest Coverage Tests. 7.15 Technical Issues with Coverage Tests.

8 Outputs Sheet. 8.1 Purpose of the Outputs Sheet. 8.2 Collating Waterfall Outputs. 8.3 Present Value. 8.4 Duration. 8.5 Weighted Average Life and Internal Rate of Return. 8.6 Equity Analysis. 8.7 Basic Auditing.

9 Moody's Rating Agency Methodology. 9.1 Introduction to Agency Methodologies.

9.2 The Bet Approach. 9.3 Evaluating the Collateral. 9.4 Creating the Moody's Sheet and Related References in the Cash Flow Model. 9.5 Default Profiles. 9.6 Interest Rate Profiles. 9.7 Running the Analysis. 9.8 Variations on the BET. 9.9 2009 Methodology Update. 10 Standard & Poors Rating Methodology. 10.1 The S&P Approach. 10.2 Evaluating the Collateral. 10.3 Modeling Recovery Rates. 10.4 CDO Evaluator. 10.5 Default Rates. 10.6 Interest Rate Stresses. 10.7 Amortization.

10.8 Additional S&P Modeling Criteria. 10.9 Building the S7P Sheet and Related References. 10.10 Running the Stress Scenarios.

11 Advanced Waterfall Modeling. 11.1 Hedge Agreements. 11.2 Fixed Notes. 11.3 Variable Funding Notes. 11.4 Liquidity Facilities. 11.5 Interest Reserve Accounts. 11.6 Other Structural Features. 11.7 Combination Notes. 11.8 Collateral Manager Equity Analysis.

12 Maintaining the Cash Flow Model. 12.1 Adapting Your Model for Different Capital Structures. 12.2 Audit Sheet. 12.3 Debugging.

13 Advanced Structuring Issues. 13.1 Projecting Accrued Interest. 13.2 Collating Collateral Cash Flows.

14 Sourcing and Integrating Data From External Systems. 14.1 Data Requirements.

14.2 Trustee Reports. 14.3 Bloomberg. 14.4 Loan Level Information Sources.

15 Regulatory Applications of CDO Technology. 15.1 The Basel Accords. 15.2 Regulatory Capital Requirements for CDO Notes. 15.3 The Standardized Approach for CDOS. 15.4 The Internal Ratings-Based Approach for CDOS. 15.5 The Internal Ratings-Based Approach for CDOS: The Ratings-Based Approach. 15.6 The Internal Ratings-Based Approach for CDOS: The Supervisory Formula Approach. 15.7 The Internal Ratings-Based Approach: Liquidity Facilities, Overlapping Exposures, Credit Risk Mitigation and Early Amortization Features. 15.8 Supervisory Provisions. 15.9 Updates to Basel II.

16 CDO Valuations. 16.1 Introduction. 16.2 Basic Valuation Approaches. 16.3 Traditional Underwriter Analysis. 16.4 Fundamental Cash Flow Analysis. 16.5 Using Rating Agency Models. 16.6 Transition Matrices. 16.7 Conclusion.

17 In Conclusion.

For more information visit http://www.researchandmarkets.com/research/ae7a6e/cash_cdo_modelling SOURCE: Research and Markets CONTACT: Research and Markets Laura Wood, Senior Manager, press@researchandmarkets.com U.S. Fax: 646-607-1907 Fax (outside U.S.): +353-1-481-1716 Copyright Business Wire 2010 -0- INDUSTRY KEYWORD: Technology

Software

Professional Services

Finance