By Darren Smith and Pamela Winchie

This book is an introduction to the modeling of cash collateralized debt obligations (“CDOs”).  There are written explanations of concepts along with understandable mathematical explanations and examples provided in Microsoft Office Excel.  

The main feature that differentiates this book from others written about cash CDOs is that this book gives the reader step-by-step instructions about modeling these structures.  No other book in the market provides this.  After reading and working through the easy to understand examples in this book, CDOs need not be viewed as opaque and complex financial instruments that are difficult to understand.

The aim of this book is to introduce the modeling of cash flow CDOs, including construction of cash flows for both the underlying collateral and the issued notes, the evaluation of default probabilities and expected losses for rating agencies, and techniques and approaches that investors may use to value them.  Newcomers to the CDO market will be able to use the ideas in this book to construct their own models. A wider aim of this book is to encourage and promote discussion and debate about the modeling, evaluation and valuation of cash flow CDOs. 

The authors acknowledge that there is not necessarily one right way to model.  Every model is a compromise between several objectives including speed, flexibility, visibility, degree of automation, ease of change and verification. The book expounds the authors’ views on best practice and utilises their experiences in discussing the advantages and disadvantages of different approaches. 

This book adopts a step by step approach to building a rudimentary model so that any reader who “sticks the course” will have a useful tool to evaluate cash flow CDOs and a template that can be built upon to suit personal taste and requirements.


For more information regarding the soon to be published book "Cash CDO Modeling With Excel: A Step by Step Approach", please visit the Where To Buy or Contact Us page of this website.