Smith D., Winchie P. Cash CDO Modelling in Excel A Step by Step Approach

Wiley, 2010. — 356 p. — ISBN: 978-0470741573.This book is an introduction to the modelling of cash collateralised debt obligations (“CDOs”). It is intended that the reader have a basic understanding of CDOs and a basic working knowledge of Microsoft Office Excel. There will be written explanations of concepts along with understandable mathematical explanations and examples provided in Excel. A CD-ROM containing these Excel examples will accompany the book.