Structured Finance Modeling with Object-Oriented VBA (Wiley Finance) [Hardcover]

Evan Tick (Author)

Book Description

Series: Wiley Finance | Publication Date: May 25, 2007

A detailed look at how object-oriented VBA should be used to model complex financial structures

This guide helps readers overcome the difficult task of modeling complex financial structures and bridges the gap between professional C++/Java programmers writing production models and front-office analysts building Excel spreadsheet models. It reveals how to model financial structures using object-oriented VBA in an Excel environment, allowing desk-based analysts to quickly produce flexible and robust models. Filled with in-depth insight and expert advice, it skillfully illustrates the art of object-oriented programming for the explicit purpose of modeling structured products. Residential mortgage securitization is used as a unifying example throughout the text.

Editorial Reviews

From the Inside Flap

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.

From the Back Cover

Praise for STRUCTURED FINANCE MODELING with Object-Oriented VBA

"This book is an excellent and interesting integration of financial engineering, structured finance, and structured programming, and the book accomplishes this with easy-to-follow examples, using the most commonly available tools, MS VBA and spreadsheets. The author is clearly intimately familiar with structured products, the mechanics and challenges of securitization, and the financial and analytical modeling that is required to understand and manage these diverse financial products. The result is a book that demonstrates an easy-to-follow combination of finance and object-oriented programming. This is a 'must own book' for the active practitioner, the financial engineer on the front lines of the structuring battle."
—Cyrus Mohebbi, PhD, Head of MBS/ABS Structuring and Analytics, HSBC Securities Inc.

"Tick has written a seminal structured finance book. He presents an approach to modeling that is both efficient and practical. His work will serve as a timeless template to simplify the complexity of structured finance."
—Janet Tavakoli, President, Tavakoli Structured Finance

"Dr. Tick's experience in applying theoretical concepts to various markets is well encapsulated in this book. A must-read for technicians and market practitioners alike who would like insight into practical solutions to complex financial modeling problems."
—Adil Nathani, Old Lane Management

"Reading Tick's book gives a real-world introduction to practical bond structuring, the activity that generates a significant part of Wall Street's profits. This book from a (financial) engineer who is intimately involved in this business, gives the details needed to generate accurate cash flows along with meticulously presented real-life examples. In addition to meat-and-potatoes asset and liability cash flows, he discusses optimization and stochastic modeling, a useful introduction to synthetic structures. This book also serves as an introduction to programming skills in VBA."
—Ramine Rouhani, Managing Director, Head of Capital Markets, IXIS Capital Markets North America

See all Editorial Reviews

Product Details

• Hardcover: 352 pages
• Publisher: Wiley; 1 edition (May 25, 2007)
• Language: English
• ISBN-10: 0470098597
• ISBN-13: 978-0470098592
• Product Dimensions: 6.5 x 1.2 x 9.5 inches
• Shipping Weight: 1.2 pounds (View shipping rates and policies)
• Average Customer Review: 4.5 out of 5 stars  See all reviews (4 customer reviews)
• Amazon Best Sellers Rank: #1,072,080 in Books (See Top 100 in Books)

More About the Author

Discover books, learn about writers, read author blogs, and more.

Customer Reviews

Most Helpful Customer Reviews

9 of 10 people found the following review helpful:

5.0 out of 5 stars A practitioner's perspective, June 23, 2007

By 

Reader from New York (New York City, NY) - See all my reviews

This review is from: Structured Finance Modeling with Object-Oriented VBA (Wiley Finance) (Hardcover)

This is an outstanding textbook on how to master the intricacies of a structured finance (especially, home-equity ABS) deal. It teaches ABS from several angles: modeling (chapter 1-4), structuring (chatper 5), and ABS analytics (chapter 6).

Although definitions and explanations about any given deal can be readily found from prospectus and prospectus supplements, for practitioners like myself, this book improves one's understanding of what's, how's and why's of any particular feature of a typical RMBS structure. This is a book I wished I had read when I started in this business.

In this book, the process of modeling a RMBS deal was shown step-by-step, with definitions, equations, tables and figures accompanying easy to understand explanations. The equations are written in a way that if is straightforward to be coded into VBA (or any other language) and be implemented.

This is a book about learning about modeling and implementing an ABS. End of chapter programming excercises reinforce the notion of learning by doing. To respond to the prior reviewer's desire of having a complete program to run and test, I believe that the only way one is going to learn a complex structure is to read, follow, implement and experiment with self-written codes. This book provides you with all the tools and explanations you need to get started in this interesting field.

2 of 2 people found the following review helpful:

4.0 out of 5 stars good modeling in theory And programming, March 14, 2008

By 

Alfred Wu (Taiwan) - See all my reviews
(REAL NAME)   

Amazon Verified Purchase

This review is from: Structured Finance Modeling with Object-Oriented VBA (Wiley Finance) (Hardcover)

This textbook is interesting. it describe the modeling in programming style and math. It make me easy to catch the relation of math formula and programming pesudo code. It does not only the math concept but pesudo code which is used to describe the concept. It is helpful to me while I met the problems in other finance engineering textbook. I can not link the complexity of math fomula to real world. But this textbook gave me another study viewpoints and help me link to to real world.

8 of 11 people found the following review helpful:

4.0 out of 5 stars After waiting for more than 5 months..., May 25, 2007

By 

MT (Thailand) - See all my reviews

This review is from: Structured Finance Modeling with Object-Oriented VBA (Wiley Finance) (Hardcover)

I had been waiting for this book for more than 5 months (preordered since December 2006). The content is excellent, but I expect to see a complete VBA code as a wrap up. It should also help if the code is provided in soft file so that the readers can see how the model actually runs without the need to merge all the examples and manually type the code into the computer first.

Montri