This book is written for financial analysts who have a working
knowledge of Excel and VBA and who wish to enhance their
marketability by improving their modeling expertise. The goal of
the book is to broaden the reader's VBA skills and at the same time
to progressively integrate Access, PowerPoint, and Outlook into an
existing model. Significant attention is also directed to the
design and execution of an Excel/VBA interface employing detailed
UserForms. In addition, the construction of various reports, first
in Excel, then Access, and finally PowerPoint is undertaken.
Regardless of your area of financial expertise, this book serves as
an essential guide to mastering leveraging the effects of Microsoft
products in whatever applications you choose to build.
The focus of the book is a case study containing a structured
finance model. The case study model was originally designed for the
securitization of a portfolio of commercial small business loans.
This model now needs to be expanded to securitize a much larger
portfolio of residential mortgages.
The Original Structuring model will be bifurcated into a Sources
of Funds model, the assets of the collateral pool, and a Uses of
Funds model, the liabilities waterfall model. This will give the
reader experience working with an existing model as a base
departure point of development rather than the less common "start
from scratch" approach. Once the Base Asset Model (BAM) and the
Base Liabilities Models (BLM) are complete, each model will serve
as the platform for future development. From the BAM and BLM a pair
of much more robust models, the Collateral Cash Flow Generator
(CCFG) and the Liabilities Waterfall Model (LWM), respectively, are
created. The CCFG is designed to process a significantly greater
quantity, variety, and complexity of collateral types. It also
introduces the analyst to Geographic based prepayment methods as
well as those using Financial/Demographic factor approaches. The
LWM, operating independently of the CCFG, reads the collateral cash
flow scenarios and applies them across a two tiered, six tranche
bond structure. The liabilities waterfall contains provision for an
interest rate swap, performance triggers and a variety of other
credit enhancement features.
With the CCFG and LWM now complete Access is introduced. Access
will replace various Excel/VBA code modules in the CCFG such as the
collateral data management, data scrubbing and reporting, data
sufficiency testing, and eligibility screening. Access is also
employed to export and the various collateral cash flows. In the
LWM Access is used to import the cash flows, store the liability
structure specifications, and export/save the resultant structure
performance. PowerPoint is then introduced in the CCFG to allow for
the fully automated production of presentation report packages.
Last Outlook is added to the models to inform the analyst of model
performance and to automatically distribute the various report
packages to pre-designated mailing lists.
The book contains over 750 exhibits of reports, menus,
calculation, and algorithmic examples and most of all code. The
complete Excel, VBA, Access, PowerPoint, and Outlook code for all
of the models is included on the Web site. The Web site also
includes Web chapters containing detailed instructions on how to
create and populate a directory environment to store this code, run
the models, and organize the results. Lastly there are other Web
chapters containing supplemental information explaining the
structure and function of the original model, bond and mortgage
math (with calculation examples), representative line generator
programs, and a tutorial on the construction and integration of
UserForms.
This book is the intermediate level companion volume to "A
Fast-Track to Structured Finance Modeling, Monitoring, and
Valuation: Jump Start VBA; Preinitz; Wiley 2009," an introductory
work on the subject.
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