LEADER 04752nam 2200649 450 001 9910138956503321 005 20180731045020.0 010 $a1-119-20643-X 010 $a0-470-66585-8 010 $a0-470-97167-3 035 $a(CKB)2550000001220002 035 $a(EBL)699384 035 $a(OCoLC)768731768 035 $a(SSID)ssj0000571487 035 $a(PQKBManifestationID)12242584 035 $a(PQKBTitleCode)TC0000571487 035 $a(PQKBWorkID)10618552 035 $a(PQKB)11232289 035 $a(MiAaPQ)EBC699384 035 $a(EXLCZ)992550000001220002 100 $a20160415h20102010 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aCash CDO modelling in Excel $ea step by step approach /$fDarren Smith and Pamela Winchie 210 1$aChichester, West Sussex, England :$cWiley,$d2010. 210 4$dİ2010 215 $a1 online resource (678 p.) 225 1 $aWiley finance 300 $aIncludes index. 311 $a0-470-74157-0 327 $a""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 a???Credit Cruncha???""; ""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"" 327 $a""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"" 327 $a""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"" 327 $a""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: Moodya???s Rating Agency Methodology""; ""9.1 Introduction to Agency Methodologies""; ""9.2 The BET Approach""; ""9.3 Evaluating the Collateral"" 327 $a""9.4 Creating the Moodya???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 & Poora???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"" 327 $a""10.10 Running the Stress Scenarios"" 410 0$aWiley finance series. 606 $aCollateralized debt obligations$xMathematical models 606 $aCredit derivatives$xMathematical models 608 $aElectronic books. 615 0$aCollateralized debt obligations$xMathematical models. 615 0$aCredit derivatives$xMathematical models. 676 $a332.63/2 676 $a332.632 676 $a332.632044 700 $aSmith$b Darren$0304237 702 $aWinchie$b Pamela 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910138956503321 996 $aCash CDO modelling in Excel$92240766 997 $aUNINA