Customer Reviews

Modeling Structured Finance Cash Flows with Microsoft Excel: A Step-by-Step Guide.Book & CD-ROM

5 star:		(6)
4 star:		(5)
3 star:		(1)
2 star:		(0)
1 star:		(0)

 

 

In structured finance, there is a tremendous discrepancy between academic literature and practice. In purporting a generalizable, scientific approach, many textbooks avoid explaining the intracacies of actual structured finance deals. The fundamental issue is that the implicit value of deal transparency required for issuer and investor tends to be overlooked by authors approaching the field from an academic background. Technical pyrotechnics that suit liquid markets fail when fees, interest rates, and other deal specifics are malleable constructs negotiated among a handful of parties. At the same time, basic bond math on an unsegregated pool of loans cannot accurately describe how assets generate cash flows and the risks faced by investors.

MFSC is the *only* book (afaik) that demonstrates how real structured finance pros bridge the void between these 2 common pitfalls made by other structured finance books. For one, the calculations that belie each component of a structured finance deal is integrated into a single model rather than considered separately. Other books may describe how cash flows pay out in a senior-sub structure, but they won't, for example, take the time to step through how funding costs and triggers affect the cash flows. The primary model also gives the user flexibility to stress the model and enables the user to treat the model as a base for all structured finance deals. Through a neatly organized inputs sheet, each component in the primary model described painstakingly anticipates the gamut of variations common to these types of deals.

All this in a book that's easy to follow and a delight to read. Five stars.

Anyone needing to learn how structured finance cash flow models work will benefit from going through this book and building the spreadsheet-based model it describes. It will be faster if you are already good at using Excel for complex modeling or pricing, but there is a fair amount of Excel advice for those who need it. The book models a single pool of mortgages that can be described by weighted average statistics incorporating both prepayment and default scenarios. Great care is taken to make the model flexible in terms of the kinds of mortgages in the pool. On the liability side the model allows for the creation of a single senior class and a sub class with an interest rate swap and a reserve. While very good for learning the cash flow consequences of sequential and pro rata payment waterfalls, this model cannot describe the structures actually issued in the market. The skills learned, however, should allow the reader to build models capable of modeling issued structures.
The writing is clear and the examples are explained well. The flow of cash into and out of the structure is emphasized by clear inputs, cash flow modeling and summary outputs.

Keith's book saved me hours of trial-and-error effort with Excel for modeling structured transactions. This book takes a simple, step-by-step approach to help the reader understand the mechanics of building the cash flow model for Mortgage Backed Securities (MBS).

Once you understand the basics of model creation and cash flow, then it is a matter of refining your skills by revere-engineering more MBS transactions out there. You will find all the basic tools to become proficient in that task by following this book.

This book is exactly what I was looking for. I stongly, strongly recommend this to any one looking to acquire VBA proficiency in the context of modeling and monitoring structured finance transactions. I am indebted to the author and publisher for finally bringing to market a book thats been noticeably absent to any one looking in the past. You will not learn whats in this book in any other book, and you will save an enormous amount of time by going through the book and CD, and building a model concurrently.

Teaches how to build up a cash flow model for big companies such as banks and insurance companies. Not useful for small companies, but even for small companies gives some idea for building a cash flow model.

This is a great book. It doesn't deal too much in detail about ABS (you can find that in a LOT of other books out there). What this book does is give you the how-to of working a model in excel, step by step, formula by formula.
Personally, I think it serves its purpose, helping you discover new ways of doing things in Excel, and once you master those ways, you can apply them to new financial structures or projects.

Also, Keith Allman, the author, has a serious compromise and has responded to emails about doubts in the past, very quickly.

If you want to get a real starter and intermediate training in structured finance, this is the book for you.

It is clearly stated that the Kindle edition does not include the CD-ROM, but I thought at least one could download the models from the author's website. It's a waist of money if you do not get the software that comes with the hardcover edition.Will change the rating if the software becomes available to kindle edition.

I am a law student with a focus in corporate and tax law. I have some background in finance but by no means am I an expert. Further, the problems I have done were always with an HP-12C and paper. There are some portions of this book that I will not use, but that is because this book covers materials that exceed my needs. That said, whether your goal is to understand the models built by others, to structure relatively basic models, or develop advanced and complex skills this book will provide everything you need.

For Kindle users: you will need the supplemental materials which come on a CD with hard copy. The author promptly emailed this to me upon request.

Keith's book does an excellent job at helping both new analysts to MD's in understanding modeling of complex master tapes (models). If you need to know how to structure a fixed or floating rate transaction this book will give you key tools to understand, build and read strats, term sheets, and OC data. Many of the functions and formulas that are explained are used in real working models but in additon to that this book explains key concepts in the structured finance world. Unlike other books this book has a much more active learning style and really gets you involved.

I look forward to the day when Keith writes a book focusing on CMBS, I will defintely buy that one also.
TM
CIB
CMBS

This is a good book. It is well-written, gives both the theoretical side and implementation, and gives tips on excel. I am a beginner but it was easy for me to follow. I recommend this book to anyone who wants to learn excel for i-banking or some other finance job.