A detailed look at how object-oriented VBA should be used to
model complex financial structures
This guide helps readers overcome the difficult task of modeling
complex financial structures and bridges the gap between
professional C++/Java programmers writing production models and
front-office analysts building Excel spreadsheet models. It reveals
how to model financial structures using object-oriented VBA in an
Excel environment, allowing desk-based analysts to quickly produce
flexible and robust models. Filled with in-depth insight and expert
advice, it skillfully illustrates the art of object-oriented
programming for the explicit purpose of modeling structured
products. Residential mortgage securitization is used as a unifying
example throughout the text.
model complex financial structures
This guide helps readers overcome the difficult task of modeling
complex financial structures and bridges the gap between
professional C++/Java programmers writing production models and
front-office analysts building Excel spreadsheet models. It reveals
how to model financial structures using object-oriented VBA in an
Excel environment, allowing desk-based analysts to quickly produce
flexible and robust models. Filled with in-depth insight and expert
advice, it skillfully illustrates the art of object-oriented
programming for the explicit purpose of modeling structured
products. Residential mortgage securitization is used as a unifying
example throughout the text.
€54.99
Table of Content
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: Sum Product.
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.
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.Buy this ebook and get 1 more FREE!
Language English ● Format PDF ● Pages 352 ● ISBN 9780470130414 ● File size 13.7 MB ● Publisher John Wiley & Sons ● Published 2007 ● Edition 1 ● Downloadable 24 months ● Currency EUR ● ID 2314123 ● Copy protection Adobe DRM
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