Wiley - Modeling Structured Finance Cash Flows With Excel

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1、ContentsPrefacexiAcknowledgmentsxiiiAbouttheAuthorxvIntroduction1TheThreeBasicElementsofaCashFlowModel3Inputs3CashFlowStructure4Outputs5TheProcessofBuildingaCashFlowModel5PlanandDesign5ObtainAllNecessaryInformation6ConstructBasicFramework6DevelopAdvancedStructure6ValidateAssumptions6TestMode

2、l7HowThisBookIsDesigned7CHAPTER1DatesandTiming9TimeProgression9DatesandTimingontheInputsSheet10Day-CountSystems:30/360versusActual/360versusActual/36511ModelBuilder1.1:InputsSheetDatesandTiming12DatesandTimingontheCashFlowSheet14ModelBuilder1.2:CashFlowSheetDatesandTiming15Toolbox18NamingCel

3、lsandRanges18DataValidationLists19EDATE21vviCONTENTSCHAPTER2AssetCashFlowGeneration23LoanLevelversusRepresentativeLineAmortization23HowAssetGenerationIsDemonstratedinModelBuilder27AssetGenerationontheInputsSheet27FixedRateAmortizationInputs28FloatingRateAmortizationInputs28ModelBuilder2.1:In

4、putsSheetAssetAssumptionsandtheVectorsSheet29AssetGenerationontheCashFlowSheet33ModelBuilder2.2:NotionalAssetAmortizationontheCashFlowSheet33Toolbox39OFFSET39MATCH40MOD41PMT41CHAPTER3Prepayments43HowPrepaymentsAreTracked43SMM:SingleMonthlyMortality44CPR:ConditionalPrepaymentRate44PSA:PublicS

5、ecuritiesAssociation44ABS:AbsolutePrepaymentSpeed45HistoricalPrepaymentDataFormats46BuildingPrepaymentCurves46PrepaymentCurvesinProjectModelBuilder47TheEffectofPrepaymentsonStructuredTransactions48ModelBuilder3.1:HistoricalPrepaymentAnalysisandCreatingaProjectedPrepaymentCurve48ModelBuilder3

6、.2:IntegratingProjectedPrepaymentsinAssetAmortization53Toolbox56WeightedAveragesUsingSUMPRODUCTandSUM56CHAPTER4Delinquency,Default,andLossAnalysis59DelinquenciesversusDefaultsversusLoss59TheImportanceofAnalyzingDelinquency60ModelBuilder4.1:BuildingHistoricalDelinquencyCurves62DerivingHistori

7、calLossCurves64ModelBuilder4.2:BuildingHistoricalandProjectedLossCurves67AnalyzingHistoricalLossCurves69ModelBuilder4.2Continued69ContentsviiProjectingLossCurves70ModelBuilder4.2Continued71IntegratingLossProjections73TheEffectsofSeasoningandDefault