Cash CDO Modelling in Excel: a Step by Step Approach

This 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. A CD-ROM containing these Excel examples will accompany the book.

12.1 Adapting Your Model for Different Capital Structures.

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 Dates4.2 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…