Structured Finance Modeling With Object-oriented VBA – Tick

Structured finance is a core activity of Wall Street firms, and securitization techniques are being used to model, create, and issue a large range of structured financial products. Modeling these securities requires that analysts have a firm understanding of some sophisticated modeling techniques—yet many analysts have neither the time nor the background to exploit the full power of C++ or more advanced programming languages. While they may be Excel experts, they often hit the "complexity wall" in Excel spreadsheets when modeling real financial structures. This book can help break through that wall, offering Wall Street professionals a practical guide to help overcome such challenges.

Modeling is essentially abstraction and simplification while producing an accurate estimate of some aspect of a complex system. Whether the system is physical or financial, the attributes of a good model remain the same, and of the many financial engineering innovations developed over the past several years of feverish ABS (asset-backed securities) growth, the cash flow securitization model is key. In general, this model has three components: loss generation, collateral cash flow generation, and bond cash flow generation. But be it a vanilla securitization or a CDO (collateralized debt obligation) of CDOs; be it supported by mortgages, loans, or bonds; or be it cash or synthetic, the valuation model is essential in understanding the economics of the trade.

Structured Finance Modeling with Object-Oriented VBA introduces this model and its implementation, providing illustrations of the model in action for actual deals, along with empirical studies of its sensitivities. Using sub-prime mortgage securitization throughout the book as a unifying example, it provides a detailed look at how object-oriented Visual Basic for Applications (VBA) can be used to price complex financial structures.

Along with securitization, this book covers stochastic models, optimization techniques, object-oriented architecture, and more. Wall Street analysts and MBA students mastering object-oriented VBA programming skills are in great demand on Wall Street, and a step ahead of those without these skills. This invaluable guide provides both the mathematical specifications and programming techniques needed to perform modeling tasks efficiently and effectively—and keep ahead of the competition.

  • Level: Intermediate
  • Major Topics: T41
  • Minor Topics: T42, T43, T44, T45, T49


Online Resources

Sample chapters

Table of Contents

1. Cash-Flow Structures
2. Modeling
3. Assets
4. Liabilities
5. Sizing the Structure
6. Analysis
7. Stochastic Models…read more