04718nam 2200637 450 991083051040332120230725063244.01-119-20643-X0-470-66585-80-470-97167-3(CKB)2550000001220002(EBL)699384(OCoLC)768731768(SSID)ssj0000571487(PQKBManifestationID)12242584(PQKBTitleCode)TC0000571487(PQKBWorkID)10618552(PQKB)11232289(MiAaPQ)EBC699384(EXLCZ)99255000000122000220160415h20102010 uy 0engur|n|---|||||txtccrCash CDO modelling in Excel a step by step approach /Darren Smith and Pamela WinchieChichester, West Sussex, England :Wiley,2010.©20101 online resource (678 p.)Wiley financeIncludes index.0-470-74157-0 ""Cover""; ""Half Title page""; ""Title page""; ""Copyright page""; ""Dedication""; ""Foreword""; ""Acknowledgments""; ""Chapter 1: Introduction""; ""1.1 To Excel or Not to Excel?""; ""1.2 Existing Tools and Software""; ""Chapter 2: What are 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 Crunchâ€?""; ""Chapter 3: Introduction to Modelling""; ""3.1 Goals in Modelling""; ""3.2 Modelling Philosophies and Trade-Offs""; ""3.3 Flexibility""; ""3.4 Organization and Layout of a Model""""3.5 Life-Cycle Issues: Building an Adaptable Model""""Chapter 4: Prerequisites to Cash Flow Modelling""; ""4.1 Modelling Dates""; ""4.2 Interest Rate Curve Modelling""; ""4.3 Present Value Modelling""; ""Chapter 5: Getting Started""; ""5.1 Create the Input Sheet""; ""5.2 The Value of Labelling""; ""Chapter 6: Modelling Assets""; ""6.1 Initial Asset Pool: Rep Line Modelling vs. Actual Assets""; ""6.2 The Collateral Sheet in the Cash Flow Model""; ""6.3 Modelling Defaults and Recoveries""; ""6.4 Amortization""; ""6.5 Modelling Reinvestment""; ""6.6 Reinvestment Cohorts""; ""6.7 Accounts""""6.8 Timing Models vs. Actual Timing""""6.9 Simple Warehouse Modelling""; ""Chapter 7: Basic Waterfall Modelling""; ""7.1 Basic Waterfalls""; ""7.2 Layout and Design""; ""7.3 Avoiding Negative Values""; ""7.4 Timing Modelled 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 Principal Waterfall (Available Funds After Payment)""; ""7.12 Principal Waterfall Calculations""""7.13 Adding Over-Collateralization Tests""""7.14 Adding Interest Coverage Tests""; ""7.15 Technical Issues with Coverage Tests""; ""Chapter 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""; ""Chapter 9: Moodyâ€?s Rating Agency Methodology""; ""9.1 Introduction to Agency Methodologies""; ""9.2 The BET Approach""; ""9.3 Evaluating the Collateral""""9.4 Creating the Moodyâ€?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""; ""Chapter 10: Standard & Poorâ€?s Rating Methodology""; ""10.1 The S&P Approach""; ""10.2 Evaluating the Collateral""; ""10.3 Modelling Recovery Rates""; ""10.4 CDO Evaluator""; ""10.5 Default Rates""; ""10.6 Interest Rate Stresses""; ""10.7 Amortization""; ""10.8 Additional S&P Modelling Criteria""; ""10.9 Building the S&P Sheet and Related References""""10.10 Running the Stress Scenarios""Wiley finance series.Collateralized debt obligationsMathematical modelsCredit derivativesMathematical modelsCollateralized debt obligationsMathematical models.Credit derivativesMathematical models.332.63/2332.632332.632044Smith Darren304237Winchie PamelaMiAaPQMiAaPQMiAaPQBOOK9910830510403321Cash CDO modelling in Excel3965986UNINA