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Example CDO model sought
Posted: April 11th, 2005, 2:02 am
by eenstudent
Does anyone have a CDO model (in excel) you wouldn't mind posting?Thx
Example CDO model sought
Posted: April 12th, 2005, 8:52 am
by silvione
I don't think you will find any useful replies and no any useful book on this topic, it is also difficult to find a good course on that try this link
http://www.goCMO.com for a CMO
Example CDO model sought
Posted: April 12th, 2005, 2:09 pm
by nyamazani
I don't think it is very difficult to build simple versions of these things.The big issue is how to handle correlation in your assets, but if you have a reasonably homogeneous poolyou can get away with using an inverse normal distribution. Otherwise gaussian copula techniques handle the problem well.What kind of assets are you looking at?
Example CDO model sought
Posted: April 13th, 2005, 7:47 am
by spursfan
try coding up the gibson synthetic cdo paper
Example CDO model sought
Posted: April 13th, 2005, 8:56 am
by nyamazani
Maybe I'm wrong....my expereince is more with ABS and ABS of SME... these models are not too conceptually difficult, depending obviously on how clever you want them to be.What are the big differences between the two? (talking about true sale not synthetics)An ABS of SME seems to be pretty close to a CDO to me if you have a lots of obligors.
Example CDO model sought
Posted: April 19th, 2005, 10:07 pm
by leonard
anyone have one in excel?
Example CDO model sought
Posted: April 20th, 2005, 9:52 am
by Wibble
The JPM base correlation model is available on an old thread