Sold Out
Book Categories |
Preface xi
List of Acronyms xv
Acknowledgments xvii
About the Author xix
Cash-Flow Structures 1
Getting Started 1
Securitization 3
Synthetic Structures 10
Putting It All Together 13
Modeling 16
Dipping a Toe in the Shallow End 17
Swimming Toward the Deep End 22
Types 29
Class Architecture 33
Weak Inheritance 37
Parameterized Class 42
Which Is Better? 43
Exercises 46
Assets 48
Replines 49
Portfolio Optimization 52
Zero-One Program 53
Simulated Annealing 56
Losses, Prepayments, and Interest Rates 60
Cash-Flow Model 61
Zero-Prepay Cash Flows 63
Actual Cash Flows 66
Examples 74
S&P Cash-Flow Model 75
Model Parameters 77
Moody's Cash-Flow Model 80
Model Parameters 82
Algorithm 84
Option ARMs 86
Class Architecture: Multiple Inheritance 89
Doing It in Excel: SumProduct 94
Exercises 94
Liabilities 98
Getting Started 98
Notation 102
Expenses 108
Interest 110
Over-collateralization 116
Current Subordinated Amount 116
Stepdown Date 118
Target Subordinated Amount 119
Principal 122
Gross Principal Distributions 122
Detailed Principal Distributions 124
Writedowns and Recoveries 128
Derivatives 130
Corridors 132
Swaps 134
Excess Reserve Fund Account 135
Triggers 137
Call Features 138
Overcollateralization Test 138
Interest Coverage Test 139
Delinquency Trigger 140
Loss Trigger 141
Residuals: NIMs and Post-NIM 141
Class Architecture 144
Passive Approach 144
Active Approach 158
Comparison 170
Doing It in Excel: Data Tables 170
Exercises 176
Sizing the Structure 179
Senior Sizing 182
Subordinate Sizing 185
Fully Funded vs. Non-Fully Funded 190
Optimizations and Complexity 192
Example of Sizing 196
NIM and OTE Sizing 198
Class Architecture 203
Inheritance Revisited 203
Odds and Ends 207
Doing It in Excel: Solver 210
Exercises 213
Analysis 217
Risk Factors 217
Prefunding 217
Prepayments 217
Buybacks and Cleanup Calls 219
Defaults 219
Interest Rates 221
Spreads 221
Miscellaneous 222
Residual Sensitivities 222
Mezzanine and Subordinate Classes 223
NIM Classes 230
Putting It All Together 232
Exercises 234
Stochastic Models 235
Static versus Stochastic 235
Loss Model 238
Probability of Default from Transition Matrix 238
Probability of Default from Spread 241
Probability of Time to Default 242
Gaussian Copula 244
Monte Carlo Simulation 249
Synthetic Credit Indexes 251
Loss Lets 253
Analysis 256
Hedging 264
Doing It in Excel 270
Exercises 279
Excel and VBA 285
Spreadsheet Style 286
Code Style 290
Compilation 295
Bloomberg 299
Bond Math 303
Mortgage Payment 303
Yield to Price 305
Price to Yield 306
Duration 307
Index or Interest-Rate Duration 308
Discount Spread Duration 308
Hazard Rate 312
Static Credit Card Model 315
References 321
Index 325
Login|Complaints|Blog|Games|Digital Media|Souls|Obituary|Contact Us|FAQ
CAN'T FIND WHAT YOU'RE LOOKING FOR? CLICK HERE!!! X
You must be logged in to add to WishlistX
This item is in your Wish ListX
This item is in your CollectionStructured Finance Modeling with Object-Oriented VBA
X
This Item is in Your InventoryStructured Finance Modeling with Object-Oriented VBA
X
You must be logged in to review the productsX
X
X
Add Structured Finance Modeling with Object-Oriented VBA, 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 progr, Structured Finance Modeling with Object-Oriented VBA to the inventory that you are selling on WonderClubX
X
Add Structured Finance Modeling with Object-Oriented VBA, 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 progr, Structured Finance Modeling with Object-Oriented VBA to your collection on WonderClub |