Evan Tick

Structured Finance Modeling with Object-Oriented VBA (eBook, PDF)

• Format: PDF

Produktbeschreibung

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.

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 352
• Erscheinungstermin: 5. Juli 2007
• Englisch
• ISBN-13: 9780470130414
• Artikelnr.: 37290899

Autorenporträt

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.

Inhaltsangabe

Preface xi
List of Acronyms xv
Acknowledgments xvii
About the Author xix
Chapter 1 Cash-Flow Structures 1
1.1 Getting Started 1
1.2 Securitization 3
1.3 Synthetic Structures 10
1.4 Putting It All Together 13
Chapter 2 Modeling 16
2.1 Dipping a Toe in the Shallow End 17
2.2 Swimming Toward the Deep End 22
2.3 Types 29
2.4 Class Architecture 33
2.4.1 Weak Inheritance 37
2.4.2 Parameterized Class 42
2.4.3 Which Is Better? 43
2.5 Exercises 46
Chapter 3 Assets 48
3.1 Replines 49
3.2 Portfolio Optimization 52
3.2.1 Zero-One Program 53
3.2.2 Simulated Annealing 56
3.3 Losses, Prepayments, and Interest Rates 60
3.4 Cash-Flow Model 61
3.4.1 Zero-Prepay Cash Flows 63
3.4.2 Actual Cash Flows 66
3.4.3 Examples 74
3.5 S&P Cash-Flow Model 75
3.5.1 Model Parameters 77
3.6 Moody's Cash-Flow Model 80
3.6.1 Model Parameters 82
3.6.2 Algorithm 84
3.7 Option ARMs 86
3.8 Class Architecture: Multiple Inheritance 89
3.9 Doing It in Excel: SumProduct 94
3.10 Exercises 94
Chapter 4 Liabilities 98
4.1 Getting Started 98
4.2 Notation 102
4.3 Expenses 108
4.4 Interest 110
4.5 Over-collateralization 116
4.5.1 Current Subordinated Amount 116
4.5.2 Stepdown Date 118
4.5.3 Target Subordinated Amount 119
4.6 Principal 122
4.6.1 Gross Principal Distributions 122
4.6.2 Detailed Principal Distributions 124
4.7 Writedowns and Recoveries 128
4.8 Derivatives 130
4.8.1 Corridors 132
4.8.2 Swaps 134
4.8.3 Excess Reserve Fund Account 135
4.9 Triggers 137
4.9.1 Call Features 138
4.9.2 Overcollateralization Test 138
4.9.3 Interest Coverage Test 139
4.9.4 Delinquency Trigger 140
4.9.5 Loss Trigger 141
4.10 Residuals: NIMs and Post-NIM 141
4.11 Class Architecture 144
4.11.1 Passive Approach 144
4.11.2 Active Approach 158
4.11.3 Comparison 170
4.12 Doing It in Excel: Data Tables 170
4.13 Exercises 176
Chapter 5 Sizing the Structure 179
5.1 Senior Sizing 182
5.2 Subordinate Sizing 185
5.2.1 Fully Funded vs. Non-Fully Funded 190
5.3 Optimizations and Complexity 192
5.4 Example of Sizing 196
5.5 NIM and OTE Sizing 198
5.6 Class Architecture 203
5.6.1 Inheritance Revisited 203
5.6.2 Odds and Ends 207
5.7 Doing It in Excel: Solver 210
5.8 Exercises 213
Chapter 6 Analysis 217
6.1 Risk Factors 217
6.1.1 Prefunding 217
6.1.2 Prepayments 217
6.1.3 Buybacks and Cleanup Calls 219
6.1.4 Defaults 219
6.1.5 Interest Rates 221
6.1.6 Spreads 221
6.1.7 Miscellaneous 222
6.1.8 Residual Sensitivities 222
6.2 Mezzanine and Subordinate Classes 223
6.3 NIM Classes 230
6.4 Putting It All Together 232
6.5 Exercises 234
Chapter 7 Stochastic Models 235
7.1 Static versus Stochastic 235
7.2 Loss Model 238
7.2.1 Probability of Default from Transition Matrix 238
7.2.2 Probability of Default from Spread 241
7.2.3 Probability of Time to Default 242
7.3 Gaussian Copula 244
7.4 Monte Carlo Simulation 249
7.5 Synthetic Credit Indexes 251
7.5.1 Loss Lets 253
7.5.2 Analysis 256
7.5.3 Hedging 264
7.6 Doing It in Excel 270
7.7 Exercises 279
Appendix A Excel and VBA 285
A.1 Spreadsheet Style 286
A.2 Code Style 290
A.3 Compilation 295
A.4 Bloomberg 299
Appendix B Bond Math 303
B.1 Mortgage Payment 303
B.2 Yield to Price 305
B.3 Price to Yield 306
B.4 Duration 307
B.4.1 Index or Interest-Rate Duration 308
B.4.2 Discount Spread Duration 308
B.5 Hazard Rate 312
B.6 Static Credit Card Model 315
References 321
Index 325

Rezensionen

"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 active practitioner, the financial engineer on the front lines of the structuring battle." - Cyrus Mohebbi, PhD, Head of MBS/ABS Structuring and Analytics, HSBC Securities Inc.

"Tick has written a seminal structured finance book. He presents an approach to modeling that is both efficient and practical. His work will serve as a timeless template to simplify the complexity of structured finance." - Janet Tavakoli, President, Tavakoli Structured Finance

"Dr. Tick's experience in applying theoretical concepts to various markets is well encapsulated in this book. A must-read for technicians and market practitioners alike who would like insight into practical solutions to complex financial modeling problems." - Adil Nathani, Old Lane Management

"Reading Tick's book gives a real-world introduction to practical bond structuring, the activity that generates a significant part of Wall Street's profits. This book from a (financial) engineer who is intimately involved in this business, gives the details needed to generate accurate cash flows along with meticulously presented real-life examples. In addition to meat-and-potatoes asset and liability cash flows, he discusses optimization and stochastic modeling, a useful introduction to synthetic structures. This book also serves as an introduction to programming skills in VBA." - Ramine Rouhani, Managing Director, Head of Capital Markets, IXIS Capital Markets North America.