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Applications of credit derivatives [[electronic resource] ] : opportunities and risks involved in credit derivatives / / Harald Seemann
| Applications of credit derivatives [[electronic resource] ] : opportunities and risks involved in credit derivatives / / Harald Seemann |
| Autore | Seemann Harald |
| Pubbl/distr/stampa | Hamburg, : Druck Diplomica, 2008 |
| Descrizione fisica | 1 online resource (98 p.) |
| Disciplina | 332.63/2 |
| Collana | Diplomarbeit |
| Soggetto topico | Credit derivatives |
| Soggetto genere / forma | Electronic books. |
| ISBN | 3-8366-0842-1 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Applications of Credit Derivatives; Table of Contents; Illustration Index; Table Index; Abbreviation Index; 1. Current Issue; 2. Credit Risk Management - Foundations; 3. Applications of Credit Derivatives; 4. Pricing of Credit Derivatives; 5. Evaluation of Credit Derivatives; Bibliography; Appendices |
| Record Nr. | UNINA-9910459912003321 |
Seemann Harald
|
||
| Hamburg, : Druck Diplomica, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Applications of credit derivatives [[electronic resource] ] : opportunities and risks involved in credit derivatives / / Harald Seemann
| Applications of credit derivatives [[electronic resource] ] : opportunities and risks involved in credit derivatives / / Harald Seemann |
| Autore | Seemann Harald |
| Pubbl/distr/stampa | Hamburg, : Druck Diplomica, 2008 |
| Descrizione fisica | 1 online resource (98 p.) |
| Disciplina | 332.63/2 |
| Collana | Diplomarbeit |
| Soggetto topico | Credit derivatives |
| ISBN | 3-8366-0842-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Applications of Credit Derivatives; Table of Contents; Illustration Index; Table Index; Abbreviation Index; 1. Current Issue; 2. Credit Risk Management - Foundations; 3. Applications of Credit Derivatives; 4. Pricing of Credit Derivatives; 5. Evaluation of Credit Derivatives; Bibliography; Appendices |
| Record Nr. | UNINA-9910785572703321 |
|
Seemann Harald
|
||
| Hamburg, : Druck Diplomica, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The art of credit derivatives [[electronic resource] ] : demystifying the black swan / / João Garcia and Serge Goossens
| The art of credit derivatives [[electronic resource] ] : demystifying the black swan / / João Garcia and Serge Goossens |
| Autore | Garcia João |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, West Sussex, : Wiley, c2010 |
| Descrizione fisica | 1 online resource (266 p.) |
| Disciplina | 332.63/2 |
| Altri autori (Persone) | GoossensSerge |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Credit derivatives
Portfolio management Securities |
| ISBN |
1-119-20662-6
1-283-37180-4 9786613371805 0-470-68719-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
The Art of Credit Derivatives: Demystifying the Black Swan; Contents; About the Authors; Acknowledgements; Preface; List of Tables; List of Figures; 1 Introduction; PART I MODELING FRAMEWORK; 2 Default Models; 2.1 Introduction; 2.2 Default; 2.3 Default Models; 3 Modeling Dependence with Copulas; 3.1 Introduction; 3.2 Copula; 3.3 Using Copulas in Practice and Factor Analysis; PART II SINGLE NAME CORPORATE CREDIT DERIVATIVES; 4 Credit Default Swaps; 4.1 Introduction; 4.2 Credit Default Swap: A Description; 4.3 Modeling CDSs; 4.4 Calibrating the Survival Probability; 4.5 2008 Auction Results
4.6 The Big Bang Protocol5 Pricing Credit Spread Options: A 2-factor HW-BK Algorithm; 5.1 Introduction; 5.2 The Credit Event Process; 5.3 Credit Spread Options; 5.4 Hull-White and Black-Karazinsky Models; 5.5 Results; 5.6 Conclusion; 6 Counterparty Risk and Credit Valuation Adjustment; 6.1 Introduction; 6.2 Valuation of the CVA; 6.3 Monte Carlo Simulation for CVA on CDS; 6.4 Semi-analytic Correlation Model; 6.5 Numerical Results; 6.6 CDS with Counterparty Risk; 6.7 Counterparty Risk Mitigation; 6.8 Conclusions; PART III MULTINAME CORPORATE CREDIT DERIVATIVES; 7 Collateralized Debt Obligations 7.1 Introduction7.2 A Brief Overview of CDOs; 7.3 Cash versus Synthetic CDOs; 7.4 Synthetic CDOs and Leverage; 7.5 Concentration, Correlation and Diversification; 8 Standardized Credit Indices; 8.1 Introduction; 8.2 Credit Default Swap Indices; 8.3 Standardization; 8.4 iTraxx, CDX and their Tranches; 8.5 Theoretical Fair Spread of Indices; 9 Pricing Synthetic CDO Tranches; 9.1 Introduction; 9.2 Generic 1-Factor Model; 9.3 Implied Compound and Base Correlation; 10 Historical Study of Lévy Base Correlation; 10.1 Introduction; 10.2 Historical Study; 10.3 Base Correlation; 10.4 Hedge Parameters 10.5 Conclusions11 Base Expected Loss and Base Correlation Smile; 11.1 Introduction; 11.2 Base Correlation and Expected Loss: Intuition; 11.3 Base Correlation and Interpolation; 11.4 Base Expected Loss; 11.5 Interpolation; 11.6 Numerical Results; 11.7 Conclusions; 12 Base Correlation Mapping; 12.1 Introduction; 12.2 Correlation Mapping for Bespoke Portfolios; 12.3 Numerical Results; 12.4 Final Comments; 13 Correlation from Collateral to Tranches; 13.1 Introduction; 13.2 Generic 1-Factor Model; 13.3 Monte Carlo Simulation and Importance Sampling; 13.4 Gaussian Copula Tranche Loss Correlations 13.5 Lévy Copula Tranche Loss Correlations13.6 Marshall-Olkin Copula Tranche Loss Correlations; 13.7 Conclusions; 14 Cash Flow CDOs; 14.1 Introduction; 14.2 The Waterfall of a Cash Flow CDO; 14.3 BET Methodology; 14.4 Results; 14.5 AIG and BET; 14.6 Conclusions; 15 Structured Credit Products: CPPI and CPDO; 15.1 Introduction; 15.2 Multivariate VG Modeling; 15.3 Swaptions on Credit Indices; 15.4 Model Calibration; 15.5 CPPI; 15.6 CPDO; 15.7 Conclusion; PART IV ASSET BACKED SECURITIES; 16 ABCDS and PAUG; 16.1 Introduction; 16.2 ABCDSs versus Corporate CDSs; 16.3 ABCDS Pay As You Go: PAUG 16.4 Conclusion |
| Record Nr. | UNINA-9910139554103321 |
|
Garcia João
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| Chichester, West Sussex, : Wiley, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The art of credit derivatives : demystifying the black swan / / Joao Garcia and Serge Goossens
| The art of credit derivatives : demystifying the black swan / / Joao Garcia and Serge Goossens |
| Autore | Garcia Joao |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, West Sussex, : Wiley, c2010 |
| Descrizione fisica | 1 online resource (266 p.) |
| Disciplina | 332.63/2 |
| Altri autori (Persone) | GoossensSerge |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Credit derivatives
Portfolio management Securities |
| ISBN |
9786613371805
9781119206620 1119206626 9781283371803 1283371804 9780470687192 0470687193 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
The Art of Credit Derivatives: Demystifying the Black Swan; Contents; About the Authors; Acknowledgements; Preface; List of Tables; List of Figures; 1 Introduction; PART I MODELING FRAMEWORK; 2 Default Models; 2.1 Introduction; 2.2 Default; 2.3 Default Models; 3 Modeling Dependence with Copulas; 3.1 Introduction; 3.2 Copula; 3.3 Using Copulas in Practice and Factor Analysis; PART II SINGLE NAME CORPORATE CREDIT DERIVATIVES; 4 Credit Default Swaps; 4.1 Introduction; 4.2 Credit Default Swap: A Description; 4.3 Modeling CDSs; 4.4 Calibrating the Survival Probability; 4.5 2008 Auction Results
4.6 The Big Bang Protocol5 Pricing Credit Spread Options: A 2-factor HW-BK Algorithm; 5.1 Introduction; 5.2 The Credit Event Process; 5.3 Credit Spread Options; 5.4 Hull-White and Black-Karazinsky Models; 5.5 Results; 5.6 Conclusion; 6 Counterparty Risk and Credit Valuation Adjustment; 6.1 Introduction; 6.2 Valuation of the CVA; 6.3 Monte Carlo Simulation for CVA on CDS; 6.4 Semi-analytic Correlation Model; 6.5 Numerical Results; 6.6 CDS with Counterparty Risk; 6.7 Counterparty Risk Mitigation; 6.8 Conclusions; PART III MULTINAME CORPORATE CREDIT DERIVATIVES; 7 Collateralized Debt Obligations 7.1 Introduction7.2 A Brief Overview of CDOs; 7.3 Cash versus Synthetic CDOs; 7.4 Synthetic CDOs and Leverage; 7.5 Concentration, Correlation and Diversification; 8 Standardized Credit Indices; 8.1 Introduction; 8.2 Credit Default Swap Indices; 8.3 Standardization; 8.4 iTraxx, CDX and their Tranches; 8.5 Theoretical Fair Spread of Indices; 9 Pricing Synthetic CDO Tranches; 9.1 Introduction; 9.2 Generic 1-Factor Model; 9.3 Implied Compound and Base Correlation; 10 Historical Study of Lévy Base Correlation; 10.1 Introduction; 10.2 Historical Study; 10.3 Base Correlation; 10.4 Hedge Parameters 10.5 Conclusions11 Base Expected Loss and Base Correlation Smile; 11.1 Introduction; 11.2 Base Correlation and Expected Loss: Intuition; 11.3 Base Correlation and Interpolation; 11.4 Base Expected Loss; 11.5 Interpolation; 11.6 Numerical Results; 11.7 Conclusions; 12 Base Correlation Mapping; 12.1 Introduction; 12.2 Correlation Mapping for Bespoke Portfolios; 12.3 Numerical Results; 12.4 Final Comments; 13 Correlation from Collateral to Tranches; 13.1 Introduction; 13.2 Generic 1-Factor Model; 13.3 Monte Carlo Simulation and Importance Sampling; 13.4 Gaussian Copula Tranche Loss Correlations 13.5 Lévy Copula Tranche Loss Correlations13.6 Marshall-Olkin Copula Tranche Loss Correlations; 13.7 Conclusions; 14 Cash Flow CDOs; 14.1 Introduction; 14.2 The Waterfall of a Cash Flow CDO; 14.3 BET Methodology; 14.4 Results; 14.5 AIG and BET; 14.6 Conclusions; 15 Structured Credit Products: CPPI and CPDO; 15.1 Introduction; 15.2 Multivariate VG Modeling; 15.3 Swaptions on Credit Indices; 15.4 Model Calibration; 15.5 CPPI; 15.6 CPDO; 15.7 Conclusion; PART IV ASSET BACKED SECURITIES; 16 ABCDS and PAUG; 16.1 Introduction; 16.2 ABCDSs versus Corporate CDSs; 16.3 ABCDS Pay As You Go: PAUG 16.4 Conclusion |
| Record Nr. | UNINA-9910827455103321 |
|
Garcia Joao
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| Chichester, West Sussex, : Wiley, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The art of vulture investing : adventures in distressed securities management / / George J. Schultze with Janet Lewis
| The art of vulture investing : adventures in distressed securities management / / George J. Schultze with Janet Lewis |
| Autore | Schultze George J. <1970-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey, : Wiley, 2012 |
| Descrizione fisica | 1 online resource (219 p.) |
| Disciplina | 332.63/2 |
| Collana | Wiley finance series |
| Soggetto topico |
Investments
Securities |
| ISBN |
9781119200581
111920058X 9781283645737 1283645734 9781118220993 1118220994 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
The Art of Vulture Investing; Contents; Foreword; Acknowledgments; Preface; CHAPTER 1 Emerging from the Egg; CHAPTER 2 Learning to Scavenge; CHAPTER 3 Looking for Prey; CHAPTER 4 Waiting On a Limb; CHAPTER 5 Swooping In: Tropicana; CHAPTER 6 Fighting Over the Carcass: Chrysler; CHAPTER 7 Digesting the Remains; CHAPTER 8 A Vulture's Philosophy; APPENDIX 1 Net Operating Loss Carry Forwards; APPENDIX 2 Copy of Continued Objection by Ad Hoc Committee of Washington Group Class 7 Claim Holders; PRELIMINARY STATEMENT; CONTINUED OPPOSITION TO RELIEF REQUESTED
A. The RCB Constitutes The "Highest And Best" Offer To Maximize Value Of The Remaining Warrants In The Class 7 Warrant PackageB. The Term Sheet Fails To Provide Class 7 Claimants With The Benefit Of Their Bargain Under The Plan; C. The Court Should Deny Any Break-Up Fee And Expense Reimbursement Requested By WGI; REVISED COUNTER-BID SUBMITTED BY THE AD HOC COMMITTEE; CONCLUSION; APPENDIX 3 Letter to Washington Group's Board of Directors; APPENDIX 4 Shareholder Complaint against Winn-Dixie Board et al.; INTRODUCTION; JURISDICTION AND VENUE; PARTIES THE FIDUCIARY DUTIES OF THE INDIVIDUAL DEFENDANTSCLASS ACTION ALLEGATIONS; SUBSTANTIVE ALLEGATIONS; Background of the Company; The Proposed Transaction; The Fundamentally Unfair Process Does Not Maximize Shareholder Value; Change-of-Control Payments to Certain of the Company's Officers and Directors; The Proposed Transaction Is Inherently Flawed as a Result of Conflicts of Interest; The Board Agreed to Unreasonable Deal Protection Provisions in the Merger Agreement; FIRST CAUSE OF ACTION; Willful, Reckless and Wanton Breach of Fiduciary Duty (Against the Individual Defendants) SECOND CAUSE OF ACTIONAiding and Abetting the Individual Defendants' Breach of Fiduciary Duty (Against the BI-LO Defendants); PRAYER FOR RELIEF; DEMAND FOR JURY TRIAL; APPENDIX 5 Objection by Schultze Asset Management to Owens Corning Disclosure Statement; PRELIMINARY STATEMENT; ARGUMENT; I. Disclosure Statement With Regard to a Plan That Is Patently Unconfirmable Cannot Be Approved; II. The Plan Is Patently Unconfirmable; III. The Disclosure Statement Does Not Contain Adequate Information, and Therefore Cannot Be Approved; RESERVATION OF RIGHTS; About the Authors; Index; Advert |
| Record Nr. | UNINA-9910141396103321 |
|
Schultze George J. <1970->
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| Hoboken, New Jersey, : Wiley, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Brokers and bureaucrats [[electronic resource] ] : building market institutions in Russia / / Timothy Frye
| Brokers and bureaucrats [[electronic resource] ] : building market institutions in Russia / / Timothy Frye |
| Autore | Frye Timothy |
| Pubbl/distr/stampa | Ann Arbor, : University of Michigan Press, c2000 |
| Descrizione fisica | xv, 272 p. : ill |
| Disciplina | 332.63/2 |
| Soggetto topico |
Capitalism - Russia (Federation)
Marketing - Russia (Federation) Post-communism - Russia (Federation) |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-42366-5
9786612423666 0-472-02348-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction: the problem of social order -- Institutions and social order: sociological and economic approaches -- Self-governance and social order: a more political approach -- Benign neglect: self-governance on currency futures markets -- The meddlesome Leviathan: self-governance on the commodities markets -- Toward a politics of social order: self-governance on the equities market -- What governs? Organizational competition and the weak Russian state -- State policy and self-governance: the political roots of social order -- The Bear's bear: institutional developments and the crash of 1998 -- Conclusion: social order and social science. |
| Record Nr. | UNINA-9910456341903321 |
|
Frye Timothy
|
||
| Ann Arbor, : University of Michigan Press, c2000 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Brokers and bureaucrats : building market institutions in Russia / / Timothy Frye
| Brokers and bureaucrats : building market institutions in Russia / / Timothy Frye |
| Autore | Frye Timothy |
| Pubbl/distr/stampa | Ann Arbor : , : University of Michigan Press, , c2000 |
| Descrizione fisica | xv, 272 p. : ill |
| Disciplina | 332.63/2 |
| Soggetto topico |
Capitalism - Russia (Federation)
Marketing - Russia (Federation) Post-communism - Russia (Federation) |
| ISBN |
1-282-42366-5
9786612423666 0-472-02348-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction: the problem of social order -- Institutions and social order: sociological and economic approaches -- Self-governance and social order: a more political approach -- Benign neglect: self-governance on currency futures markets -- The meddlesome Leviathan: self-governance on the commodities markets -- Toward a politics of social order: self-governance on the equities market -- What governs? Organizational competition and the weak Russian state -- State policy and self-governance: the political roots of social order -- The Bear's bear: institutional developments and the crash of 1998 -- Conclusion: social order and social science. |
| Record Nr. | UNINA-9910780703803321 |
|
Frye Timothy
|
||
| Ann Arbor : , : University of Michigan Press, , c2000 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Brokers and bureaucrats : building market institutions in Russia / / Timothy Frye
| Brokers and bureaucrats : building market institutions in Russia / / Timothy Frye |
| Autore | Frye Timothy |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Ann Arbor, : University of Michigan Press, c2000 |
| Descrizione fisica | xv, 272 p. : ill |
| Disciplina | 332.63/2 |
| Soggetto topico |
Capitalism - Russia (Federation)
Marketing - Russia (Federation) Post-communism - Russia (Federation) |
| ISBN |
9786612423666
9781282423664 1282423665 9780472023486 0472023489 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction: the problem of social order -- Institutions and social order: sociological and economic approaches -- Self-governance and social order: a more political approach -- Benign neglect: self-governance on currency futures markets -- The meddlesome Leviathan: self-governance on the commodities markets -- Toward a politics of social order: self-governance on the equities market -- What governs? Organizational competition and the weak Russian state -- State policy and self-governance: the political roots of social order -- The Bear's bear: institutional developments and the crash of 1998 -- Conclusion: social order and social science. |
| Record Nr. | UNINA-9910958015703321 |
|
Frye Timothy
|
||
| Ann Arbor, : University of Michigan Press, c2000 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Cash CDO modelling in Excel : a step by step approach / / Darren Smith and Pamela Winchie
| Cash CDO modelling in Excel : a step by step approach / / Darren Smith and Pamela Winchie |
| Autore | Smith Darren |
| Pubbl/distr/stampa | Chichester, West Sussex, England : , : Wiley, , 2010 |
| Descrizione fisica | 1 online resource (678 p.) |
| Disciplina |
332.63/2
332.632 332.632044 |
| Collana | Wiley finance |
| Soggetto topico |
Collateralized debt obligations - Mathematical models
Credit derivatives - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-20643-X
0-470-66585-8 0-470-97167-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
""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 Crunch�""; ""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: 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""; ""Chapter 10: Standard & Poor�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"" |
| Record Nr. | UNINA-9910138956503321 |
|
Smith Darren
|
||
| Chichester, West Sussex, England : , : Wiley, , 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Cash CDO modelling in Excel : a step by step approach / / Darren Smith and Pamela Winchie
| Cash CDO modelling in Excel : a step by step approach / / Darren Smith and Pamela Winchie |
| Autore | Smith Darren |
| Pubbl/distr/stampa | Chichester, West Sussex, England : , : Wiley, , 2010 |
| Descrizione fisica | 1 online resource (678 p.) |
| Disciplina |
332.63/2
332.632 332.632044 |
| Collana | Wiley finance |
| Soggetto topico |
Collateralized debt obligations - Mathematical models
Credit derivatives - Mathematical models |
| ISBN |
1-119-20643-X
0-470-66585-8 0-470-97167-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
""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 Crunch�""; ""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: 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""; ""Chapter 10: Standard & Poor�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"" |
| Record Nr. | UNINA-9910830510403321 |
|
Smith Darren
|
||
| Chichester, West Sussex, England : , : Wiley, , 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
