The Definitive Guide to CDOs: Market, Valuation, Application and Hedging

The Definitive Guide to CDOs: Market, Valuation, Application and Hedging

By: Gunter Meissner (editor)Hardback

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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. 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; and, an insight into the risks, challenges and market outlook. It is 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.

About Author

Editor Gunter Meissner is an associate professor of finance at Hawaii Pacific University. He is also president of Derivatives Software, which specialises in software for standard and exotic options and swaps; VaR models, term structure based models as well as credit derivatives and weather derivatives. Gunter has held a number of visiting professor positions at universities including: McMaster, University of Technology Sydney, Thammasat University Thailand and Ecole Nationale des Ponts et Chaussees, Tokyo and NYU New York. Prior to working within academia Gunter was head of options at Deutsche Bank, Tokyo from 1994-1996. He was head of product development at Deutsche Bank, Frankfurt and an interest rate derivatives trader for Deutsche Bank, in both Frankfurt and New York.


Section 1: The CDO Market and Application1 The Evolution of CDOs - From the Bistro to CDO2Brenda Boultwood; Gunter Meissner2 The Application of CDOsGunter MeissnerSection 2: Basic Properties of CDO Valuation3 An Overview on Copula Function Methods in Credit Portfolio ModellingDavid Li4 The Underlying Dynamics of Credit CorrelationsArthur Berd; Robert Engle; Artem Voronov5 Dynamic Conditioning and Credit Correlation BasketsClaudio Albanese, Alicia Vidler6 Approaches to Generate the Loss Distribution Peter Grundke; Thomas Moosbrucker7 Modeling non-normal CDO returns with the Omega FunctionRanjan Bhaduri, Gunter MeissnerSection 3: CDO Valuation Approaches 8 The market standard model for valuing CDOs, the OFGC (one-factor Gaussian copula model) - Benefits and LimitationsGunter Meissner9 From implied correlation to base correlationJon Gregory10 Factor Models for CDO PricingLeif Andersen and Victor L. Piterbarg11 Levy Processes for the Valuation of CDO TranchesThomas Moosbrucker12 Markov Models for CDOsErik Schlogl13 CDOs-Squared: Time for an Autopsy?Michiko Whetten14 Constant Proportion Debt Obligation - An IntroductionMartin Hellmich, Stefan Kassberger15 A comparative analysis of CDO pricing modelsX. Burtschell; Jon Gregory; Jean-Paul Laurent16 CDO Valuation: Fact and FictionRobert A. Jarrow; Li Li, Mark Mesler, Donald R. van DeventerSection 4: Hedging of CDOs17 Hedging issues for CDOsAreski Cousin and Jean-Paul Laurent18 Hedging CDOs in the one-factor Gaussian copula frameworkGunter Meissne; Richard Hector, Thomas RasmussenSection 5: Rating approaches, Regulatory issues, and Model validation 19 A Comparative Analysis of Fitch's, Moody's, and Standard & Poor's CDO Rating ApproachesGunter Meissner, Tim Garnier, Tobias Laute20 The Treatment of CDOs in Basel IIMartin Brodka & Linda Urban21 Counterparty credit risk of CDO tranches under Basel II'sNiall Whelan 22 Model Validation and CDOs - An Overview of Requirements and MethodsGeorge NealSection 6: The Future of CDOs23 CDOs - Risks, Challenges and Market OutlookDavid M. Rowe; Cyril DeretzIndex

Product Details

  • ISBN13: 9781906348014
  • Format: Hardback
  • Number Of Pages: 675
  • ID: 9781906348014
  • ISBN10: 1906348014

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