Keith A. Allman

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

A Step-by-Step Guide

• Format: PDF

Produktbeschreibung

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.

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 224
• Erscheinungstermin: 17. November 2008
• Englisch
• ISBN-13: 9780470421031
• Artikelnr.: 37292155

Autorenporträt

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.

Inhaltsangabe

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.