Structured Finance Modeling with Object-Oriented VBA

Name: Structured Finance Modeling with Object-Oriented VBA
Price: 37.25 USD
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ISBN: 9780470098592

ISBN-10: 0470098597

ISBN-13: 9780470098592

Edition: 2007

Authors: Evan Tick

List price: $80.00

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Praise for STRUCTURED FINANCE MODELING with Object-Oriented VBA"This book is an excellent and interesting integration of financial engineering, structured finance, and structured programming, and the book accomplishes this with easy-to-follow examples, using the most commonly available tools, MS VBA and spreadsheets. The author is clearly intimately familiar with structured products, the mechanics and challenges of securitization, and the financial and analytical modeling that is required to understand and manage these diverse financial products. The result is a book that demonstrates an easy-to-follow combination of finance and object-oriented programming. This is a 'must own book' for the…

Book details

List price: $80.00
Copyright year: 2007
Publisher: John Wiley & Sons, Incorporated
Publication date: 5/25/2007
Binding: Hardcover
Pages: 352
Size: 6.30" wide x 9.30" long x 1.20" tall
Weight: 1.188
Language: English



Preface


List of Acronyms


Acknowledgments


About the Author



Cash-Flow Structures



Getting Started



Securitization



Synthetic Structures



Putting It All Together



Modeling



Dipping a Toe in the Shallow End



Swimming Toward the Deep End



Types



Class Architecture



Weak Inheritance



Parameterized Class



Which Is Better?



Exercises



Assets



Replines



Portfolio Optimization



Zero-One Program



Simulated Annealing



Losses, Prepayments, and Interest Rates



Cash-Flow Model



Zero-Prepay Cash Flows



Actual Cash Flows



Examples



S&P Cash-Flow Model



Model Parameters



Moody's Cash-Flow Model



Model Parameters



Algorithm



Option ARMs



Class Architecture: Multiple Inheritance



Doing It in Excel: SumProduct



Exercises



Liabilities



Getting Started



Notation



Expenses



Interest



Over-collateralization



Current Subordinated Amount



Stepdown Date



Target Subordinated Amount



Principal



Gross Principal Distributions



Detailed Principal Distributions



Writedowns and Recoveries



Derivatives



Corridors



Swaps



Excess Reserve Fund Account



Triggers



Call Features



Overcollateralization Test



Interest Coverage Test



Delinquency Trigger



Loss Trigger



Residuals: NIMs and Post-NIM



Class Architecture



Passive Approach



Active Approach



Comparison



Doing It in Excel: Data Tables



Exercises



Sizing the Structure



Senior Sizing



Subordinate Sizing



Fully Funded vs. Non-Fully Funded



Optimizations and Complexity



Example of Sizing



NIM and OTE Sizing



Class Architecture



Inheritance Revisited



Odds and Ends



Doing It in Excel: Solver



Exercises



Analysis



Risk Factors



Prefunding



Prepayments



Buybacks and Cleanup Calls



Defaults



Interest Rates



Spreads



Miscellaneous



Residual Sensitivities



Mezzanine and Subordinate Classes



NIM Classes



Putting It All Together



Exercises



Stochastic Models



Static versus Stochastic



Loss Model



Probability of Default from Transition Matrix



Probability of Default from Spread



Probability of Time to Default



Gaussian Copula



Monte Carlo Simulation



Synthetic Credit Indexes



Loss Lets



Analysis



Hedging



Doing It in Excel



Exercises



Excel and VBA



Spreadsheet Style



Code Style



Compilation



Bloomberg



Bond Math



Mortgage Payment



Yield to Price



Price to Yield



Duration



Index or Interest-Rate Duration



Discount Spread Duration



Hazard Rate



Static Credit Card Model


References


Index