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Cash CDO Modelling in Excel: A Step by Step Approach by Darren Smith

By Darren Smith

This publication is an creation to the modelling of money collateralised debt tasks (“CDOs”).  it really is meant that the reader have a simple knowing of CDOs and a easy operating wisdom of Microsoft workplace Excel.  there'll be written motives of innovations besides comprehensible mathematical factors and examples supplied in Excel.  A CD-ROM containing those Excel examples will accompany the booklet.

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Extra info for Cash CDO Modelling in Excel: A Step by Step Approach

Sample text

It is poor modelling to not model with other users in mind (or even with the view that a particular model may not be looked at for a long period of time) and some of the original reasoning may be forgotten; why, for example, there was an input or calculation in the Excel spreadsheet “wilderness” (such as cell IR5648 on a random worksheet, or worse still, on a hidden worksheet). By designing worksheets to have specific functions the model can be incrementally improved, modified and adapted. Our model will start with four basic worksheets: • • • • inputs; outputs; collateral/assets; waterfall.

By following this discipline, it is easier for users of the worksheet to follow its logic. Most importantly, the potential for circular references (the bane of all spreadsheet users) can be significantly reduced. 58 • Separate calculations from waterfall. By separating out the calculations from the distribution of funds, the waterfall can be dramatically shortened, avoiding overrunning the available number of columns, causing “wrap-around”. “Wrap-around” should be avoided as much as possible as it dramatically reduces the “readability” of the spreadsheet and greatly increases the likelihood of circular references.

It is not all likely to completely fail, particularly if it is well diversified. 1 GOALS IN MODELLING Models have to be able to satisfy many different goals for potentially different users. Rating agencies use models to determine the credit risk and determine the credit ratings assigned to the notes that are issued. Investors use models to determine returns and note sensitivities to defaults and ratings migration. Mono-line insurers have used their own models to determine the capital requirements to maintain their ratings.

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