Modeling Structured Finance Cash Flows with Microsoft Excel

Name: Modeling Structured Finance Cash Flows with Microsoft Excel | A Step-by-Step Guide
Brand: Wiley
Price: 60.99 EUR
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A Step-by-Step Guide

Keith A. Allman(Autor*in)

Wiley (Verlag)

Erschienen am 22. August 2007

200 Seiten

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978-0-470-11717-0 (ISBN)

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Inhalt

Intro
Modeling Structured Finance Cash Flows with Microsoft Excel
Contents
Preface
Acknowledgments
About the Author
Introduction
THE THREE BASIC ELEMENTS OF A CASH FLOW MODEL
THE PROCESS OF BUILDING A CASH FLOW MODEL
HOW THIS BOOK IS DESIGNED
Chapter 1: Dates and Timing
TIME PROGRESSION
DATES AND TIMING ON THE INPUTS SHEET
DAY-COUNT SYSTEMS: 30/360 VERSUS ACTUAL/360 VERSUS ACTUAL/365
MODEL BUILDER 1.1: INPUTS SHEET-DATES AND TIMING
DATES AND TIMING ON THE CASH FLOW SHEET
MODEL BUILDER 1.2: CASH FLOW SHEET-DATES AND TIMING
TOOLBOX
Chapter 2: Asset Cash Flow Generation
LOAN LEVEL VERSUS REPRESENTATIVE LINE AMORTIZATION
HOW ASSET GENERATION IS DEMONSTRATED IN MODEL BUILDER
ASSET GENERATION ON THE INPUTS SHEET
MODEL BUILDER 2.1: INPUTS SHEET ASSET ASSUMPTIONS AND THE VECTORS SHEET
ASSET GENERATION ON THE CASH FLOW SHEET
MODEL BUILDER 2.2: NOTIONAL ASSET AMORTIZATION ON THE CASH FLOW SHEET
TOOLBOX
Chapter 3: Prepayments
HOW PREPAYMENTS ARE TRACKED
HISTORICAL PREPAYMENT DATA FORMATS
BUILDING PREPAYMENT CURVES
PREPAYMENT CURVES IN PROJECT MODEL BUILDER
THE EFFECT OF PREPAYMENTS ON STRUCTURED TRANSACTIONS
MODEL BUILDER 3.1: HISTORICAL PREPAYMENT ANALYSIS AND CREATING A PROJECTED PREPAYMENT CURVE
MODEL BUILDER 3.2: INTEGRATING PROJECTED PREPAYMENTS IN ASSET AMORTIZATION
TOOLBOX
Chapter 4: Delinquency, Default, and Loss Analysis
DELINQUENCIES VERSUS DEFAULTS VERSUS LOSS
THE IMPORTANCE OF ANALYZING DELINQUENCY
MODEL BUILDER 4.1: BUILDING HISTORICAL DELINQUENCY CURVES
DERIVING HISTORICAL LOSS CURVES
MODEL BUILDER 4.2: BUILDING HISTORICAL AND PROJECTED LOSS CURVES
ANALYZING HISTORICAL LOSS CURVES
MODEL BUILDER 4.2 CONTINUED
PROJECTING LOSS CURVES
MODEL BUILDER 4.2 CONTINUED
INTEGRATING LOSS PROJECTIONS
MODEL BUILDER 4.3: INTEGRATING DEFAULTS IN ASSET AMORTIZATION
Chapter 5: Recoveries
MODEL BUILDER 5.1: HISTORICAL RECOVERY ANALYSIS
PROJECTING RECOVERIES IN A CASH FLOW MODEL
MODEL BUILDER 5.2: INTEGRATING RECOVERIES INTO PROJECT MODEL BUILDER
FINAL POINTS REGARDING RECOVERIES
Chapter 6: Liabilities and the Cash Flow Waterfall
PRIORITY OF PAYMENTS AND THE CASH FLOW WATERFALL
TYPES OF LIABILITIES
MODEL BUILDER 6.1: CALCULATING FEES IN THE WATERFALL
MODEL BUILDER 6.2: CALCULATING INTEREST IN THE WATERFALL
MODEL BUILDER 6.3: CALCULATING PRINCIPAL IN THE WATERFALL
UNDERSTANDING BASIC ASSET AND LIABILITY INTERACTIONS
Chapter 7: Advanced Liability Structures
TRIGGERS AND THEIR AFFECT ON THE LIABILITY STRUCTURE
MODEL BUILDER 7.1: INCORPORATING TRIGGERS
SWAPS
MODEL BUILDER 7.2: INCORPORATING A BASIC INTEREST RATE SWAP
FINAL NOTES ON SWAPS
RESERVE ACCOUNTS
MODEL BUILDER 7.3: INCORPORATING A CASH-FUNDED RESERVE ACCOUNT
CONCLUSION OF THE CASH FLOW WATERFALL
TOOLBOX
Chapter 8: Analytics and Output Reporting
INTERNAL TESTING
MODEL BUILDER 8.1: CASH IN VERSUS CASH OUT TEST
MODEL BUILDER 8.2: BALANCES AT MATURITY TESTS
MODEL BUILDER 8.3: ASSET PRINCIPAL CHECK TEST
PERFORMANCE ANALYTICS
MODEL BUILDER 8.4: CALCULATING MONTHLY YIELD
MODEL BUILDER 8.5: CALCULATING BOND-EQUIVALENT YIELD
MODIFIED DURATION
MODEL BUILDER 8.6: CALCULATING MODIFIED DURATION
OUTPUT REPORTING
MODEL BUILDER 8.7: CREATING THE OUTPUT REPORT
TOOLBOX
Chapter 9: Understanding the Model
THE COMPLETE MODEL IN REVIEW
UNDERSTANDING THE EFFECTS OF INCREASED LOSS
VARYING PRINCIPAL ALLOCATION METHODOLOGIES
VARYING LOSS TIMING
VARYING RECOVERY RATE AND LAG
THE VALUE OF A SWAP
ADDITIONAL TESTING
Chapter 10: Automation Using Visual Basic Applications (VBA)
CONVENTIONS OF THIS CHAPTER
THE VISUAL BASIC EDITOR
VBA CODE
SIMPLE AUTOMATION FOR PRINTING AND GOAL SEEK
MODEL BUILDER 10.1: AUTOMATING PRINT PROCEDURES
MODEL BUILDER 10.2: AUTOMATING GOAL SEEK TO OPTIMIZE ADVANCE RATES
UNDERSTANDING LOOPING TO AUTOMATE THE ANALYTICS SHEET
MODEL BUILDER 10.3: AUTOMATING GOAL SEEK TO PERFORM TRANSACTION ANALYTICS
AUTOMATED SCENARIO GENERATION
MODEL BUILDER 10.4: CREATING A TRANSACTION SCENARIO GENERATOR
WORKING WITH MACROS IN EXCEL
Chapter 11: Conclusion
THE INVESTMENT BANKER'S PERSPECTIVE
THE INVESTOR'S PERSPECTIVE
THE ISSUER'S PERSPECTIVE
THE FINANCIAL GUARANTOR'S PERSPECTIVE
THE BIG PICTURE PERSPECTIVE
Appendix: Using This Book with Excel 2007
GUIDE TO OPERATIONS AND FUNCTIONS IN EXCEL 2007 RELEVANT TO THIS BOOK
About the CD-ROM
INTRODUCTION
SYSTEM REQUIREMENTS
USING THE CD WITH WINDOWS
WHAT'S ON THE CD-ROM
CUSTOMER CARE
Index

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