Reverse Engineering Deals on Wall Street with Microsoft Excel (eBook)

A Step-by-Step Guide

Keith A. Allman (Autor)

eBook Download: PDF

2008 | 1. Auflage
224 Seiten
John Wiley & Sons (Verlag)
978-0-470-42103-1 (ISBN)

Infos

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

It's clear from the current turbulence on Wall Street that
the inner workings of its most complex transactions are poorly
understood. Wall Street deals parse risk using intricate legal
terminology that is difficult to translate into an analytical
model. Reverse Engineering Deals on Wall Street: A Step-By-Step
Guide takes readers through a detailed methodology of
deconstructing the public deal documentation of a modern Wall
Street transaction and applying the deconstructed elements to
create a fully dynamic model that can be used for risk and
investment analysis.

Appropriate for the current market climate, an actual
residential mortgage backed security (RMBS) transaction is taken
from prospectus to model by the end of the book. Step by step,
Allman walks the reader through the reversing process with textual
excerpts from the prospectus and discussions on 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. Also
included is valuable VBA code and detailed explanation that shows
proper valuation methods including loan level amortization and full
trigger modeling.

Aside from investment analysis this text can help anyone who
wants to keep track of the competition, learn from others public
transactions, or set up a system to audit one's own
models.

Note: CD-ROM/DVD and other supplementary materials are
not included as part of eBook file.

Autor

Keith A. Allman is a capital markets professional with a specialization in analytics and modeling. He is currently the principal trainer and founder of Enstruct, a quantitative finance training company, as well as a Managing Director with NSM Capital Management. Prior to this, Allman was a vice president at Citigroup's Global Corporate and Investment Bank. He has also worked for MBIA Corporation in their Quantitative Analytics division. Allman is the author of Modeling Structured Finance Cash Flows with Microsoft Excel, which is published by Wiley.

Inhalt

Preface.

Acknowledgments.

About the Author.

CHAPTER 1: Introduction.

The Transaction.

The Documents.

The Process.

How This Book Works.

CHAPTER 2: Determining Dates and Setting Up Timing.

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.

Automatic Range Naming.

About the CD-ROM.

Index.

Produkt-Details

• Erscheint lt. Verlag: 17.11.2008
• Reihe/Serie: Wiley Finance Editions
• Reihe/Serie: Wiley Finance Editions
• Sprache: englisch
• Themenwelt: Informatik ► Office Programme ► Excel
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Schlagworte: Finance & Investments • Finanz- u. Anlagewesen • Institutional & Corporate Finance • Institutionelle Finanzplanung
• ISBN-10: 0-470-42103-7 / 0470421037
• ISBN-13: 978-0-470-42103-1 / 9780470421031