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Structured Finance Modeling with Object-Oriented VBA
John Wiley and Sons Ltd, June 2007, Pages: 352
Structured finance is now a core activity of Wall Street firms. Securitization techniques are being used to model, create, and issue a whole range of structured financial products, such as collateralized debt obligations (CDOs). Modeling such securities requires that analysts have the most sophisticated techniques to model these securities at their disposal, yet many analysts dont have the time nor the background to exploit the full power of C++ or more advanced programming languages. They may be Excel experts, but often hit the complexity wall in Excel when modeling complex financial structures. This book can help break through that wall. It helps Wall Street professionals overcome the complexity of modeling financial structures in a practical manner. It bridges the gap in the industry between professional C++/Java programmers writing production models and front-office analysts building Excel spreadsheet models. It shows how to model financial structures using object-oriented VBA in an Excel environment, thereby allowing desk-based analysts to quickly produce flexible and robust models. This is important because C++ models are inevitably black-boxes to analysts on the desk, because they cannot be modified or reasoned by those doing the business.
About the Author
Evan Tick is a director at IXIS Capital Markets, and has worked on Wall Street for ten years. His expertise is fixed income and structured finance modeling in the areas of risk management, asset-backed securities (ABS), residential mortgages, and credit derivatives.
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