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The Definitive Guide to CDOs Market, Valuation, Application and Hedging by Gunter Meissner

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

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The Definitive Guide to CDOs Market, Valuation, Application and Hedging by Gunter Meissner

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 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 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.

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Book Info

Publication date

31st July 2008


Gunter Meissner

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Risk Books




Investment & securities



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