Structured Finance Modeling with Object-Oriented VBA / Wiley Finance Editions (ePub)

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

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.

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