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Structured Finance Modeling with Object-Oriented VBA

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介绍

Table of Contents

Structured Finance Modeling with Object-Oriented VBA

Chapter 1. Cash-Flow Structures

Getting Started

Synthetic Structures

Putting It All Together

Chapter 2. Modeling

Dipping a Toe in the Shallow End

Swimming Toward the Deep End

Class Architecture

Chapter 3. Assets

Portfolio Optimization

Losses, Prepayments, and Interest Rates

Cash-Flow Model

S&P Cash-Flow Model

Moody's Cash-Flow Model

Class Architecture: Multiple Inheritance

Doing It in Excel: Sumproduct

Chapter 4. Liabilities

Getting Started

Over-collateralization

WriteDowns and Recoveries

Residuals: NIMs and Post-NIM

Class Architecture

Doing it in Excel: Data Tables

Chapter 5. Sizing the Structure

Subordinate Sizing

Optimizations and Complexity

Example of Sizing

NIM and OTE Sizing

Class Architecture

Doing It in Excel: Solver

Chapter 6. Analysis

Mezzanine and Subordinate Classes

Putting It All Together

Chapter 7. Stochastic Models

Static VERSUS Stochastic

Gaussian Copula

Monte Carlo Simulation

Synthetic Credit Indexes

Doing It in Excel

Appendix A. Excel and VBA

Spreadsheet Style

Appendix B. Bond Math

Mortgage Payment

Static Credit Card Model

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