Structured finance modeling with object-oriented VBA:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Hoboken, NJ
John Wiley & Sons, Inc.
c2007
|
| Schriftenreihe: | Wiley finance series
|
| Schlagworte: | |
| Online-Zugang: | Table of contents only Inhaltsverzeichnis |
| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | XIX, 332 p. graph. Darst. |
| ISBN: | 9780470098592 0470098597 |
Internformat
MARC
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| 245 | 1 | 0 | |a Structured finance modeling with object-oriented VBA |c Evan Tick |
| 264 | 1 | |a Hoboken, NJ |b John Wiley & Sons, Inc. |c c2007 | |
| 300 | |a XIX, 332 p. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
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| 490 | 0 | |a Wiley finance series | |
| 500 | |a Includes bibliographical references and index | ||
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| 650 | 4 | |a Microsoft Visual Basic for applications | |
| 650 | 4 | |a Finances - Modèles mathématiques | |
| 650 | 4 | |a Investissements - Modèles mathématiques | |
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| 650 | 4 | |a Finance |x Mathematical models | |
| 650 | 4 | |a Investments |x Mathematical models | |
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Datensatz im Suchindex
| _version_ | 1804136646266847232 |
|---|---|
| adam_text | Contents
Preface xi
List of Acronyms xv
Acknowledgments xvN
About the Author xix
CHAPTHti
Cash-How Structures 1
1.1 Getting Started 1
1.2 Securitization 3
1.3 Synthetic Structures 10
1.4 Putting It All Together 13
CHAPTK2
IB
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
CHAPTK3
Assets 48
3.1 Replines 49
3.2 Portfolio Optimization 52
3.2.1 Zero-One Program 53
3.2.2 Simulated Annealing 56
VI
VW CONTENTS
60
61
63
66
74
75
77
80
82
84
86
89
94
94
98
102
108
110
116
4.5.1 Current Subordinated Amount 116
4.5.2 StepdownDate 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
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 1 Exercises
CHAPTK4
Uabflitfes
4.1 Getting Started
4.2 Notation
4.3 Expenses
4.4 Interest
4.5 Over-collateralization
Contents_______________________________________________________________jx
4.11.2 Active Approach 158
4.11.3 Comparison 170
4.12 Doing It in Excel: Data Tables 170
4.13 Exercises 176
179
182
185
190
192
196
198
203
203
207
210
213
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 MM 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
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 G
Analysis
7.3 Gaussian Copula
7.4 Monte Carlo Simulation
7.5 Synthetic Credit Indexes
7.5.1 Loss Lets
7.5.2 Analysis
7.5.3 Hedging
7.6 Doing It in Excel
7.7 Exercises
Appendix A
Excel and VBA
A.I Spreadsheet Style
A.2 Code Style
A.3 Compilation
A.4 Bloomberg
Appendix B
Bond Math
B.I Mortgage Payment
B.2 Yield to Price
B.3 Price to Yield
B.4 Duration
B.4.1 Index or Interest-Rate Duration
B.4.2 Discount Spread Duration
B.5 Hazard Rate
B.6 Static Credit Card Model
References
Index
CONTENTS
244
249
251
253
256
264
270
279
285
286
290
295
299
303
305
306
307
308
308
312
315
321
325
|
| adam_txt |
Contents
Preface xi
List of Acronyms xv
Acknowledgments xvN
About the Author xix
CHAPTHti
Cash-How Structures 1
1.1 Getting Started 1
1.2 Securitization 3
1.3 Synthetic Structures 10
1.4 Putting It All Together 13
CHAPTK2
IB
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
CHAPTK3
Assets 48
3.1 Replines 49
3.2 Portfolio Optimization 52
3.2.1 Zero-One Program 53
3.2.2 Simulated Annealing 56
VI
VW CONTENTS
60
61
63
66
74
75
77
80
82
84
86
89
94
94
98
102
108
110
116
4.5.1 Current Subordinated Amount 116
4.5.2 StepdownDate 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
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 1 Exercises
CHAPTK4
Uabflitfes
4.1 Getting Started
4.2 Notation
4.3 Expenses
4.4 Interest
4.5 Over-collateralization
Contents_jx
4.11.2 Active Approach 158
4.11.3 Comparison 170
4.12 Doing It in Excel: Data Tables 170
4.13 Exercises 176
179
182
185
190
192
196
198
203
203
207
210
213
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 MM 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
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 G
Analysis
7.3 Gaussian Copula
7.4 Monte Carlo Simulation
7.5 Synthetic Credit Indexes
7.5.1 Loss Lets
7.5.2 Analysis
7.5.3 Hedging
7.6 Doing It in Excel
7.7 Exercises
Appendix A
Excel and VBA
A.I Spreadsheet Style
A.2 Code Style
A.3 Compilation
A.4 Bloomberg
Appendix B
Bond Math
B.I Mortgage Payment
B.2 Yield to Price
B.3 Price to Yield
B.4 Duration
B.4.1 Index or Interest-Rate Duration
B.4.2 Discount Spread Duration
B.5 Hazard Rate
B.6 Static Credit Card Model
References
Index
CONTENTS
244
249
251
253
256
264
270
279
285
286
290
295
299
303
305
306
307
308
308
312
315
321
325 |
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| language | English |
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| spelling | Tick, Evan Verfasser aut Structured finance modeling with object-oriented VBA Evan Tick Hoboken, NJ John Wiley & Sons, Inc. c2007 XIX, 332 p. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance series Includes bibliographical references and index Microsoft Visual Basic for applications Finances - Modèles mathématiques Investissements - Modèles mathématiques Mathematisches Modell Finance Mathematical models Investments Mathematical models http://www.loc.gov/catdir/toc/ecip072/2006032748.html Table of contents only HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015741725&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Tick, Evan Structured finance modeling with object-oriented VBA Microsoft Visual Basic for applications Finances - Modèles mathématiques Investissements - Modèles mathématiques Mathematisches Modell Finance Mathematical models Investments Mathematical models |
| title | Structured finance modeling with object-oriented VBA |
| title_auth | Structured finance modeling with object-oriented VBA |
| title_exact_search | Structured finance modeling with object-oriented VBA |
| title_exact_search_txtP | Structured finance modeling with object-oriented VBA |
| title_full | Structured finance modeling with object-oriented VBA Evan Tick |
| title_fullStr | Structured finance modeling with object-oriented VBA Evan Tick |
| title_full_unstemmed | Structured finance modeling with object-oriented VBA Evan Tick |
| title_short | Structured finance modeling with object-oriented VBA |
| title_sort | structured finance modeling with object oriented vba |
| topic | Microsoft Visual Basic for applications Finances - Modèles mathématiques Investissements - Modèles mathématiques Mathematisches Modell Finance Mathematical models Investments Mathematical models |
| topic_facet | Microsoft Visual Basic for applications Finances - Modèles mathématiques Investissements - Modèles mathématiques Mathematisches Modell Finance Mathematical models Investments Mathematical models |
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