ISBN-10:
0470098597
ISBN-13:
9780470098592
Pub. Date:
05/25/2007
Publisher:
Wiley
Structured Finance Modeling with Object-Oriented VBA / Edition 1

Structured Finance Modeling with Object-Oriented VBA / Edition 1

by Evan Tick

Hardcover

View All Available Formats & Editions
Current price is , Original price is $80.0. You
Select a Purchase Option
  • purchase options
    $44.94 $80.00 Save 44% Current price is $44.94, Original price is $80. You Save 44%.
  • purchase options

Product Details

ISBN-13: 9780470098592
Publisher: Wiley
Publication date: 05/25/2007
Series: Wiley Finance Series , #390
Pages: 352
Product dimensions: 6.30(w) x 9.30(h) x 1.20(d)

About the Author

Evan Tick is a director at IXIS Capital Markets, and has worked on Wall Street for ten years. His expertise is fixed income and structured finance modeling in the areas of risk management, asset-backed securities (ABS), residential mortgages, and credit derivatives.

Read an Excerpt

Click to read or download

Table of Contents

Preface.

List of Acronyms.

Acknowledgments.

About the Author.

Chapter 1. Cash-Flow Structures.

1.1 Getting Started.

1.2 Securitization.

1.3 Synthetic Structures.

1.4 Putting It All Together.

Chapter 2. Modeling.

2.1 Dipping a Toe in the Shallow End.

2.2 Swimming Toward the Deep End.

2.3 Types.

2.4 Class Architecture.

2.4.1 Weak Inheritance.

2.4.2 Parameterized Class.

2.4.3 Which Is Better?

2.5 Exercises.

Chapter 3. Assets.

3.1 Replines.

3.2 Portfolio Optimization.

3.2.1 Zero-One Program.

3.2.2 Simulated Annealing.

3.3 Losses, Prepayments, and Interest Rates.

3.4 Cash-Flow Model.

3.4.1 Zero-Prepay Cash Flows.

3.4.2 Actual Cash Flows.

3.4.3 Examples.

3.5 S&P Cash-Flow Model.

3.5.1 Model Parameters.

3.6 Moody’s Cash-Flow Model.

3.6.1 Model Parameters.

3.6.2 Algorithm.

3.7 Option ARMs.

3.8 Class Architecture: Multiple Inheritance.

3.9 Doing It in Excel: SumProduct.

3.10 Exercises.

Chapter 4. Liabilities.

4.1 Getting Started.

4.2 Notation.

4.3 Expenses.

4.4 Interest.

4.5 Over-collateralization.

4.5.1 Current Subordinated Amount.

4.5.2 Stepdown Date.

4.5.3 Target Subordinated Amount.

4.6 Principal.

4.6.1 Gross Principal Distributions.

4.6.2 Detailed Principal Distributions.

4.7 Writedowns and Recoveries.

4.8 Derivatives.

4.8.1 Corridors.

4.8.2 Swaps.

4.8.3 Excess Reserve Fund Account.

4.9 Triggers.

4.9.1 Call Features.

4.9.2 Overcollateralization Test.

4.9.3 Interest Coverage Test.

4.9.4 Delinquency Trigger.

4.9.5 Loss Trigger.

4.10 Residuals: NIMs and Post-NIM.

4.11 Class Architecture.

4.11.1 Passive Approach.

4.11.2 Active Approach.

4.11.3 Comparison.

4.12 Doing It in Excel: Data Tables.

4.13 Exercises.

Chapter 5. Sizing the Structure.

5.1 Senior Sizing.

5.2 Subordinate Sizing.

5.2.1 Fully Funded vs. Non–Fully Funded.

5.3 Optimizations and Complexity.

5.4 Example of Sizing.

5.5 NIM and OTE Sizing.

5.6 Class Architecture.

5.6.1 Inheritance Revisited.

5.6.2 Odds and Ends.

5.7 Doing It in Excel: Solver.

5.8 Exercises.

Chapter 6. Analysis.

6.1 Risk Factors.

6.1.1 Prefunding.

6.1.2 Prepayments.

6.1.3 Buybacks and Cleanup Calls.

6.1.4 Defaults.

6.1.5 Interest Rates.

6.1.6 Spreads.

6.1.7 Miscellaneous.

6.1.8 Residual Sensitivities.

6.2 Mezzanine and Subordinate Classes.

6.3 NIM Classes.

6.4 Putting It All Together.

6.5 Exercises.

Chapter 7. Stochastic Models.

7.1 Static versus Stochastic.

7.2 Loss Model.

7.2.1 Probability of Default from Transition Matrix.

7.2.2 Probability of Default from Spread.

7.2.3 Probability of Time to Default.

7.3 Gaussian Copula.

7.4 Monte Carlo Simulation.

7.5 Synthetic Credit Indexes.

7.5.1 Loss Lets.

7.5.2 Analysis.

7.5.3 Hedging.

7.6 Doing It in Excel.

7.7 Exercises.

Appendix A. Excel and VBA.

A.1 Spreadsheet Style.

A.2 Code Style.

A.3 Compilation.

A.4 Bloomberg.

Appendix B. Bond Math.

B.1 Mortgage Payment.

B.2 Yield to Price.

B.3 Price to Yield.

B.4 Duration.

B.4.1 Index or Interest-Rate Duration.

B.4.2 Discount Spread Duration.

B.5 Hazard Rate.

B.6 Static Credit Card Model.

References.

Index.

Customer Reviews

Most Helpful Customer Reviews

See All Customer Reviews