Title: Structured Finance Modeling with Object-Oriented VBA / Edition 1
Author: Evan Tick
Structured finance is a core activity of Wall Street firms, andsecuritization techniques are being used to model, create, andissue a large range of structured financial products. Modelingthese securities requires that analysts have a firm understandingof some sophisticated modeling techniques—yet many analystshave neither the time nor the background to exploit the full powerof C++ or more advanced programming languages. While they may beExcel experts, they often hit the “complexity wall” in Excelspreadsheets when modeling real financial structures. This book canhelp break through that wall, offering Wall Street professionals apractical guide to help overcome such challenges. Modeling is essentially abstraction and simplification whileproducing an accurate estimate of some aspect of a complex system.Whether the system is physical or financial, the attributes of agood model remain the same, and of the many financial engineeringinnovations developed over the past several years of feverish ABS(asset-backed securities) growth, the cash flow securitizationmodel is key. In general, this model has three components: lossgeneration, collateral cash flow generation, and bond cash flowgeneration. But be it a vanilla securitization or a CDO(collateralized debt obligation) of CDOs; be it supported bymortgages, loans, or bonds; or be it cash or synthetic, thevaluation model is essential in understanding the economics of thetrade. Structured Finance Modeling with Object-Oriented VBA introducesthis model and its implementation, providing illustrations of themodel in action for actual deals, along with empirical studies ofits sensitivities. Using sub-prime mortgage securitizationthroughout the book as a unifying example, it provides a detailedlook at how object-oriented Visual Basic for Applications (VBA) canbe 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 VBAprogramming skills are in great demand on Wall Street, and a stepahead of those without these skills. This invaluable guide providesboth the mathematical specifications and programming techniquesneeded to perform modeling tasks efficiently andeffectively—and keep ahead of the competition.