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Informationen zum Autor Keith Allman is currently the principal trainer and founder of Enstruct, a structured finance analytics training company. Previously he was a Vice President at Citigroup in their Global Fixed Income, Structured Finance Division. He has built and reviewed hundreds of models from many different sectors. Allman received his master's degree in international affairs from Columbia University. Klappentext A practical guide to building fully operational financial cash flow models for structured finance transactions Structured finance and securitization deals are becoming more commonplace on Wall Street. Up until now, however, market participants have had to create their own models to analyze these deals, and new entrants have had to learn as they go. Modeling Structured Finance Cash Flows with Microsoft Excel provides readers with the information they need to build a cash flow model for structured finance and securitization deals. Financial professional Keith Allman explains individual functions and formulas, while also explaining the theory behind the spreadsheets. Each chapter begins with a discussion of theory, followed by a section called "Model Builder," in which Allman translates the theory into functions and formulas. In addition, the companion website features all of the modeling exercises, as well as a final version of the model that is created in the text. Note: Companion website and other supplementary materials are not included as part of eBook file. Zusammenfassung Structured finance and securitization deals are becoming more commonplace on Wall Street. Up until now, however, market participants have had to create their own models to analyze these deals, and new entrants have had to learn as they go. Inhaltsverzeichnis Preface xi Acknowledgments xiii About the Author xv Introduction 1 The Three Basic Elements of a Cash Flow Model 3 Inputs 3 Cash Flow Structure 4 Outputs 5 The Process of Building a Cash Flow Model 5 Plan and Design 5 Obtain All Necessary Information 6 Construct Basic Framework 6 Develop Advanced Structure 6 Validate Assumptions 6 Test Model 7 How This Book Is Designed 7 Chapter 1 Dates and Timing 9 Time Progression 9 Dates and Timing on the Inputs Sheet 10 Day-Count Systems: 30/360 versus Actual/360 versus Actual/ 365 11 Model Builder 1.1: Inputs Sheet-Dates and Timing 12 Dates and Timing on the Cash Flow Sheet 14 Model Builder 1.2: Cash Flow Sheet-Dates and Timing 15 Toolbox 18 Naming Cells and Ranges 18 Data Validation Lists 19 EDATE 21 Chapter 2 Asset Cash Flow Generation 23 Loan Level versus Representative Line Amortization 23 How Asset Generation Is Demonstrated in Model Builder 27 Asset Generation on the Inputs Sheet 27 Fixed Rate Amortization Inputs 28 Floating Rate Amortization Inputs 28 Model Builder 2.1: Inputs Sheet Asset Assumptions and the Vectors Sheet 29 Asset Generation on the Cash Flow Sheet 33 Model Builder 2.2: Notional Asset Amortization on the Cash Flow Sheet 33 TOOLBOX 40 OFFSET 40 MATCH 40 MOD 41 PMT 41 Chapter 3 Prepayments 43 How Prepayments Are Tracked 43 SMM: Single Monthly Mortality 44 CPR: Conditional Prepayment Rate 44 PSA: Public Securities Association 44 ABS: Absolute Prepayment Speed 45 Historical Prepayment Data Formats 46 Building Prepayment Curves 46 Prepayment Curves in Project Model Builder 47 The Effect of Prepayments on Structured Transactions 48 Model Builder 3.1: Historical Prepayment Analysis and Creating a Projected Prepayment Curve 48 Model Builder 3.2: Integrat...
List of contents
Preface.
Acknowledgments.
About the Author.
Introduction.
The Three Basic Elements of a Cash Flow Model.
Inputs.
Cash Flow Structure.
Outputs.
The Process of Building a Cash Flow Model.
Plan and Design.
Obtain All Necessary Information.
Construct Basic Framework.
Develop Advanced Structure.
Validate Assumptions.
Test Model.
How This Book Is Designed.
CHAPTER 1. Dates and Timing.
CHAPTER 2. Asset Cash Flow Generation.
CHAPTER 3. Prepayments.
CHAPTER 4. Delinquency, Default, and Loss Analysis.
CHAPTER 5. Recoveries.
CHAPTER 6. Liabilities and the Cash Flow Waterfall.
CHAPTER 7. Advanced Liability Structures: Triggers, Interest Rate Swaps, and Reserve Accounts.
CHAPTER 8. Analytics and Output Reporting.
CHAPTER 9. Understanding the Model.
CHAPTER 10. Automation Using Visual Basic Applications (VBA).
CHAPTER 11. Conclusion.
Appendix: Using This Book with Excel 2007.
About the CD-ROM.
Index.
About the author
Keith Allman is currently the principal trainer and founder of Enstruct, a structured finance analytics training company. Previously he was a Vice President at Citigroup in their Global Fixed Income, Structured Finance Division. He has built and reviewed hundreds of models from many different sectors. Allman received his master's degree in international affairs from Columbia University.
