Cash CDO Modelling in Excel

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A01=Darren Smith
A01=Pamela Winchie
agencies
approach
Author_Darren Smith
Author_Pamela Winchie
book
cash
cash flows
Category=KFF
Category=UFC
cdos
collateral
collateralised
construction
darren
debt
default probabilities
eq_bestseller
eq_business-finance-law
eq_computing
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
evaluation
excel
experts
flow
investors
leading
modelling
obligations
pamela
rudimentary
step
useful

Product details

  • ISBN 9780470741573
  • Weight: 767g
  • Dimensions: 178 x 252mm
  • Publication Date: 21 May 2010
  • Publisher: John Wiley & Sons Inc
  • Publication City/Country: US
  • Product Form: Hardback
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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. 

About the authors

DARREN SMITH, London, UK, currently heads the Credit Structuring team at WestLB. He has over 12 years' experience in the cash CDO market, and has executed numerous transactions in asset classes as diverse as loans, bonds, emerging market bonds, asset backed securities, CDOs and credit default swaps. Prior to WestLB Darren worked in CDOs at PaineWebber, UBS, and was co-head of CDOs at Dresdner Kleinwort. He has spoken at numerous conferences including the Global ABS Conference, Barcelona, and CDO Europe conferences sponsored by Opal. Darren holds a bachelor's degree in Electronic Engineering from the University of South Australia.

PAMELA WINCHIE, London, UK, is currently a Managing Director at Cross Point Capital, London. Prior to this Pamela held positions as a Director in the European CDO group at Barclays Capital, and a Director in the CDO group at Dresdner Kleinwort. She has over 10 years' experience both as a cash CDO structurer and as a lawyer involved in corporate, securities and securitization law. She has modelled and structured numerous CDOs in various currencies with a range of underlying assets and has spoken at a number of conferences including the CRE-CDO Summit, London, the European CDOs & Credit Derivatives Conference sponsored by IMN and the International Structured Product Conference. Pamela holds a bachelor's degree in Mathematics and Statistics from the University of Western Ontario and a Juris Doctor from Osgoode Hall Law School.

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