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Allman

Reverse Engineering Deals on Wall Street with Microsoft Excel, + Website

A Step-By-Step Guide

Medium: Buch
ISBN: 978-0-470-24205-6
Verlag: Wiley
Erscheinungstermin: 01.12.2008
Lieferfrist: bis zu 10 Tage
Economics / Investments & Securities

Praise for Reverse Engineering Deals on Wall Street with Microsoft Excel

"Allman has written an excellent sequel to his first book Modeling Structured Finance Cash Flows with Microsoft Excel, providing a simple guide on how to deconstruct cash flows through modeling and understanding the collateral by analyzing the prospectus. Whether you are new to the structured finance industry or steeped in structured financing-this book is a must-read."
-Ralph Armenta, PMI Mortgage Insurance/Structured Transactions

"The credit crisis has shown that more financial institutions and analysts need to be able to reverse-engineer structured finance deals to assess their values and risks for themselves. Keith Allman has produced a thorough guide for creating reverse-engineered models that both beginners and experienced analysts will find invaluable."
-Chandan Sengupta, author of Financial Modeling Using Excel and VBA

A serious source of information for those looking to reverse-engineer business deals

How does Wall Street keep track of the competition? They reverse-engineer deals by taking a prospectus or term sheet and recreating a model from it. The skills involved in this task are sophisticated, but are important to understand-especially in today's dynamic business environment.

In this practical resource, financial professional Keith Allman demystifies the process by interpreting complicated legal terminology and clearly showing how it can be organized into a dynamic model. Step by step, Allman walks you through this endeavor with textual excerpts from the prospectus and details how it directly transfers to a model. Each chapter begins with a discussion of concepts with exact references to an example prospectus, followed by a section called "Model Builder," in which Allman translates the theory into a fully functioning model for the example deal. In addition, the companion CD-ROM features all of the modeling exercises, as well as a final version of the model that is outlined in the text.

Produkteigenschaften


  • Artikelnummer: 9780470242056
  • Medium: Buch
  • ISBN: 978-0-470-24205-6
  • Verlag: Wiley
  • Erscheinungstermin: 01.12.2008
  • Sprache(n): Englisch
  • Auflage: 1. Auflage 2008
  • Serie: Wiley Finance Editions
  • Produktform: Kartoniert, mit 1 CD-ROM
  • Gewicht: 420 g
  • Seiten: 224
  • Format (B x H x T): 191 x 235 x 12 mm
  • Ausgabetyp: Kein, Unbekannt

Autoren/Hrsg.

Autoren

Allman, Keith A

Preface.

Acknowledgements.

About the Author.

Chapter 1. Introduction.

The Transaction.

The Documents.

The Process.

How This Book Works.

Chapter 2. Determining Dates and Setting Up Times.

Differences In Timing Approaches.

A First Look at the Prospectus.

Important Dates.

Transforming Dates and Timing from Words to a Model.

Model Builder 2.1: Reversing Dates and Timing.

Conclusion of Dates and Timing.

Chapter 3. Creating Asset Cash Flow From Prospectus Data.

It's All in the Prospectus Supplement.

The Basics of Amortization.

Performance and the Prospectus Supplement.

Delinquency.

Loss.

Prepayment.

Recovery.

Creating Cash Flow.

A Complex Implementation.

Model Builder 3.1: Entering in the Raw Asset Information.

Model Builder 3.2: Entering in the Default and Prepayment Assumptions.

Model Builder 3.3: Interest Rates and Additional Asset Amortization Inputs.

Model Builder 3.4: Introducing VBA and Moving Data In and Out of the Model.

Model Builder 3.5: Loading Loan Performance Assumptions into VBA.

Model Builder 3.6: Global Functions.

Model Builder 3.7: Loan-Level Asset Amortization.

Chapter 4. Setting Up Liability Assumptions, Paying Fees, and Distributing Interest.

Identifying the Offered Securities.

Model Builder 4.1: Transferring the Liability Information to a Consolidated Sheet.

The Liability Waterfall: A System of Priority.

Model Builder 4.2: Starting the Waterfall with Fees.

Interest: No Financing is Free.

Model Builder 4.3: Continuing the Waterfall with Interest Paid to the Certificate Holders.

More on Waterfalls and Wall Street's Risk Parsing.

Model Builder 4.4: Mezzanine Interest.

Continuing the Waterfall: It Only Gets More Complicated.

Chapter 5. Principal Repayment and the Shifting Nature of a Wall Street Deal.

Model Builder 5.1: The Deal State and Senior Principal.

Mezzanine Principal Returns.

Model Builder 5.2: The Mezzanine Certificates' Priority of Payments.

Number Games or Risk Parsing?

Chapter 6. Credit Enhancement Mechanisms to Mitigate Loss.

Model Builder 6.1: Excess Spread, Overcollateralization, and Credit Enhancement.

Chapter 7. Auditing the Model

Model Builder 7.1.

Chapter 8. Conclusion of Example Transaction and Final Thoughts on Reverse Engineering.

Mortgage Insurance and Servicer Advances.

Reverse Engineering in the Current and Future Market.

Appendix I.

Automatic Range Naming.

About the CD.

Index.