The Definitive Guide to CDOs [Hardcover]

Gunter Meissner (Editor)

Book Description

Publication Date: September 30, 2008

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.
• 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.

Editorial Reviews

About the 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 Chaussées, 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.

Product Details

• Hardcover: 350 pages
• Publisher: Incisive Media (September 30, 2008)
• Language: English
• ISBN-10: 1906348014
• ISBN-13: 978-1906348014
• Product Dimensions: 9.2 x 6.2 x 1.5 inches
• Shipping Weight: 2.8 pounds
• Average Customer Review: 5.0 out of 5 stars  See all reviews (2 customer reviews)
• Amazon Best Sellers Rank: #3,532,654 in Books (See Top 100 in Books)

Customer Reviews

Most Helpful Customer Reviews

2 of 2 people found the following review helpful:

5.0 out of 5 stars Very well structured and clearly written, September 22, 2008

By 

JP Morgan Credit Deriv (New York, NY) - See all my reviews

This review is from: The Definitive Guide to CDOs (Hardcover)

This book is a very easy read on the complex topic of CDOs. In section 1, the market and application of CDOs is introduced in straight forward terms. Section 2 on Basic Properties of CDO Valuation is quite mathematical and only for quantitatively skilled readers. Section 3 `CDO Valuation Approaches' is excellent. The one factor Gaussian copula model is explained very clearly. The VBA model on base correlation is very intuitive! Chapter 16 on `CDO Valuation: A Look at Fact and Fiction' is critical and addresses CDOs in the light of the current crisis. Section 4 on hedging CDOs deals with aspects that risk managers should have considered earlier. Section 5 and 6 are easy reads on regulatory issues and give an outlook. The editor concludes that CDOs will have a comeback after the crisis. Let's hope he is right!

5.0 out of 5 stars Flows well, December 21, 2008

By 

Scott McCoy (Hong Kong) - See all my reviews

This review is from: The Definitive Guide to CDOs (Hardcover)

I like this book. In the beginning, straight forward questions as "What is a CDO?" and "Why CDOs?" are asked and answered. Very nice are chapters 1 and 2 on Market and Application of CDOs. Risk Management issues are covered a bit slim with only 2 chapters. Critical issues regarding CDO valuation and hedging are addressed throughout the book, especially in chapters 8 and 16. Altogether, it seems that the editor put a lot of work into the book. The different topics are well introduced and linked, so that the book does not suffer from the typical random `multi-author syndrome'.