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Structured Finance Modeling with Object-Oriented VBA by Evan Tick

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Contents

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

2.5 Exercises

Chapter 3: Assets

3.1 Replines

3.2 Portfolio Optimization

3.3 Losses, Prepayments, and Interest Rates

3.4 Cash-Flow Model

3.5 S&P Cash-Flow Model

3.6 Moody’s Cash-Flow Model

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

4.6 Principal

4.7 Writedowns and Recoveries

4.8 Derivatives

4.9 Triggers

4.10 Residuals: NIMs and Post-NIM

4.11 Class Architecture

4.12 Doing It in Excel: Data Tables

4.13 Exercises

Chapter 5: Sizing the Structure

5.1 Senior Sizing

5.2 Subordinate Sizing

5.3 Optimizations and Complexity

5.4 Example of Sizing

5.5 NIM and OTE Sizing

5.6 Class Architecture

5.7 Doing It in Excel: Solver

5.8 Exercises

Chapter 6: Analysis

6.1 Risk Factors

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

7.3 Gaussian Copula

7.4 Monte Carlo Simulation

7.5 Synthetic Credit Indexes

7.6 Doing It in Excel

7.7 Exercises

Appendix A: Excel and VBA

Appendix B: Bond Math

References

Index ...

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