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The Definitive Guide to CDOs

Edited By Gunter Meissner

Overview

Collateralised debt obligations (CDOs) are at the heart of the continuing credit crisis. This guide is recommended to anyone trying to understand the mechanics of this challenging market.

"An excellent book on CDOs, covering all relevant aspects such as market, application, CDO valuation approaches and hedging. A must read!" Peter Carr, PhD, Head of Quantitative Financial Research, Bloomberg LP, Director of the Math Finance Program, NYU-Courant

Publish date: 1 Sep 2008

Availability: In stock

£70.00
OR

Book description

The question of how to value structured credit products has never been more urgent.

This multi-contributor book successfully brings together cutting-edge, current research from a broad spectrum of leading academics and practitioners in the field to fully examine CDOs and provide expert practical guidance.

The Definitive Guide to CDOs will deliver, to both practitioners and academics, the full range of current ideas and the newest innovations surrounding this important topic. It provides you with all the essential analysis concerning the CDO sector including:

  • A comprehensive overview of the market and application of CDOs, which will help the less experienced reader get up-to-date on the subject.
  • An analysis of the severe 2005 and 2007 CDO crises.
  • A clear picture of the current status of the market.
  • A technical overview of CDO hedging approaches.
  • An analysis of the current CDO valuation approaches, such as the One-Factor Gaussian Copula Model, Copula extensions, Levy processes, Markov Models, as well as CDO squared and CPDO valuation.
  • Insight into the risks, challenges and market outlook.

Recommended reading for anyone trying to stay ahead in the rapidly changing CDO market, including CDO investors and analysts, brokers and dealers, investment bankers, accountants, asset managers, collateral managers, credit enhancers, portfolio managers, trustees, structurers and risk managers.

Book details

ISBN
9781906348014
Publish date
1 Sep 2008
Format
Size
155mm x 235mm

Editor biography

Gunter Meissner

After a lectureship in mathematics and statistics at the Economic Academy Kiel, Gunter Meissner PhD joined Deutsche Bank in 1990, trading interest rate futures, swaps and options in Frankfurt and New York. He became Head of Product Development in 1994, responsible for originating algorithms for new derivatives products, which at the time were Lookback Options, Multi-asset Options, Quanto Options, Average Options, Index Amortizing Swaps, and Bermuda Swaptions. In 1995/1996 Gunter Meissner was Head of Options at Deutsche Bank Tokyo. From 1997 to 2007, Gunter was Professor of Finance and Hawaii Pacific University. Currently, he is President of Derivatives Software, Adjunct Professor of Mathematical Finance at NYU and Director of the Master in Financial Engineering program at the Shidler College of Business at the University of Hawaii.

Gunter Meissner has published numerous papers on derivatives in international journals. He is author of 3 books, including Credit Derivatives: Application, Pricing, and Risk Management (2005).

Table of contents

Introduction

Gunter Meissner

SECTION 1: THE CDO MARKET AND APPLICATION

Introduction

1 The Evolution of CDOs – From the Bistro to CDO2

Brenda Boultwood; Gunter Meissner

JP Morgan; University of Hawaii, NYU and Derivatives Software

2 The Application of CDOs

Gunter Meissner

University of Hawaii, NYU and Derivatives Software

SECTION 2: BASIC PROPERTIES OF CDO VALUATION

Introduction

3 An Overview on Copula Function Methods in Credit

Portfolio Modelling

David Xianglin Li

China International Capital Corporation Limited

4 The Underlying Dynamics of Credit Correlations

Arthur Berd; Robert Engle; Artem Voronov

Capital Fund Management; Stern School of Business,

New York University; Millgate Capital

5 Dynamic Conditioning and Credit Correlation Baskets

Claudio Albanese; Alicia Vidler

Level 3 Finance; Merrill Lynch

6 Approaches to Generate the Loss Distribution

Peter Grundke; Thomas Moosbrucker

University of Osnabrück; Deloitte & Touche GmbH

7 Modelling Non-Normal CDO Returns with the Omega

Function

Ranjan Bhaduri; Gunter Meissner

AlphaMetrix, World Trade University; University of Hawaii,

NYU and Derivatives Software

SECTION 3: CDO VALUATION APPROACHES

Introduction

8 The Market Standard Model for Valuing CDOs, the One-Factor

Gaussian Copula Model – Benefits and Limitations

Gunter Meissner

University of Hawaii, NYU and Derivatives Software

9 Practical Pricing of Synthetic CDOs

Jon Gregory; Jean-Paul Laurent

SS Consulting; Université de Lyon, Université Lyon 1,

ISFA Actuarial School, and BNP Paribas

10 Factor Models for CDO Pricing

Leif Andersen, Victor L. Piterbarg

Banc of America Securities

11 Lévy Processes for the Valuation of CDO Tranches

Thomas Moosbrucker

Deloitte & Touche GmbH

12 Markov Models for CDOs

Erik Schlögl

University of Technology, Sydney

13 CDOs2: Time for an Autopsy?

Michiko Whetten

UBS Securities Japan

14 Constant Proportion Debt Obligations: An Introduction

Martin Hellmich; Stefan Kassberger

DekaBank; Ulm University

15 A Comparative Analysis of CDO Pricing Models

Xavier Burtschell; Jon Gregory; Jean-Paul Laurent

BNP Paribas; SS Consulting; Université de Lyon, Université

Lyon 1, ISFA Actuarial School and BNP Paribas

16 CDO Valuation: Fact and Fiction

Robert A. Jarrow; Li Li, Mark Mesler, Donald R. van Deventer

Johnson Graduate School of Management, Cornell University

and Kamakura Corporation; Kamakura Corporation

SECTION 4: HEDGING OF CDOs

Introduction

17 Hedging Issues for CDOs

Areski Cousin; Jean-Paul Laurent

Université de Lyon, Université Lyon 1, ISFA Actuarial School;

Université de Lyon, Université Lyon 1, ISFA Actuarial School

and BNP Paribas

18 Hedging CDOs in the One-Factor Gaussian Copula Framework

Gunter Meissner; Richard Hector, Thomas Rasmussen

University of Hawaii, NYU and Derivatives Software; Hawaii

Pacific University

SECTION 5: RATING APPROACHES, REGULATORY ISSUES AND MODEL VALIDATION

Introduction

19 A Comparative Analysis of Fitch’s, Moody’s and

Standard & Poor’s CDO Rating Approaches

Gunter Meissner; Tim Garnier, Tobias Laute

University of Hawaii, NYU and Derivatives Software; Hawaii

Pacific University

20 The Treatment of CDOs in Basel II

Martin Brodka, Linda Urban

Lehman Brothers

21 Counterparty Credit Risk of CDO Tranches under Basel II

Niall Whelan

Scotiabank

22 Model Validation and CDOs – An Overview of Requirements

And Methods

George Neal

American Savings Bank

SECTION 6: CDOS – RISKS, CHALLENGES AND MARKET OUTLOOK

Introduction

23 CDOs – Risks, Challenges and Market Outlook

David M. Rowe, Cyril Deretz

SunGard

Index

Testimonials

"An excellent book on CDOs, covering all relevant aspects such as market, application, CDO valuation approaches and hedging. A must read!" Peter Carr, PhD, Head of Quantitative Financial Research, Bloomberg LP, Director of the Math Finance Program, NYU-Courant

Customer Reviews

Average customer reviews for The Definitive Guide to CDOs
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