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Structured Finance Modeling with Object-Oriented VBA

Book Description

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.

Table of Contents

  1. Cover
  2. Title
  3. Copyright
  4. Dedication
  5. Contents
  6. Preface
  7. List of Acronyms
  8. Acknowledgments
  9. About the Author
  10. Chapter 1: Cash-Flow Structures
    1. 1.1 Getting Started
    2. 1.2 Securitization
    3. 1.3 Synthetic Structures
    4. 1.4 Putting It All Together
  11. Chapter 2: Modeling
    1. 2.1 Dipping a Toe in the Shallow End
    2. 2.2 Swimming Toward the Deep End
    3. 2.3 Types
    4. 2.4 Class Architecture
    5. 2.5 Exercises
  12. Chapter 3: Assets
    1. 3.1 Replines
    2. 3.2 Portfolio Optimization
    3. 3.3 Losses, Prepayments, and Interest Rates
    4. 3.4 Cash-Flow Model
    5. 3.5 S&P Cash-Flow Model
    6. 3.6 Moody's Cash-Flow Model
    7. 3.7 Option ARMS
    8. 3.8 Class Architecture: Multiple Inheritance
    9. 3.9 Doing It in Excel: SumProduct
    10. 3.10 Exercises
  13. Chapter 4: Liabilities
    1. 4.1 Getting Started
    2. 4.2 Notation
    3. 4.3 Expenses
    4. 4.4 Interest
    5. 4.5 Over-collateralization
    6. 4.6 Principal
    7. 4.7 Writedowns and Recoveries
    8. 4.8 Derivatives
    9. 4.9 Triggers
    10. 4.10 Residuals: NIMs and Post-NIM
    11. 4.11 Class Architecture
    12. 4.12 Doing It in Excel: Data Tables
    13. 4.13 Exercises
  14. Chapter 5: Sizing the Structure
    1. 5.1 Senior Sizing
    2. 5.2 Subordinate Sizing
    3. 5.3 Optimizations and Complexity
    4. 5.4 Example of Sizing
    5. 5.5 NIM and OTE Sizing
    6. 5.6 Class Architecture
    7. 5.7 Doing It in Excel: Solver
    8. 5.8 Exercises
  15. Chapter 6: Analysis
    1. 6.1 Risk Factors
    2. 6.2 Mezzanine and Subordinate Classes
    3. 6.3 NIM Classes
    4. 6.4 Putting It All Together
    5. 6.5 Exercises
  16. Chapter 7: Stochastic Models
    1. 7.1 Static versus Stochastic
    2. 7.2 Loss Model
    3. 7.3 Gaussian Copula
    4. 7.4 Monte Carlo Simulation
    5. 7.5 Synthetic Credit Indexes
    6. 7.6 Doing It in Excel
    7. 7.7 Exercises
  17. Appendix A: Excel and VBA
  18. Appendix B: Bond Math
  19. References
  20. Index