(Ebook) Reverse Engineering Deals on Wall Street with Microsoft Excel A Step by Step Guide 1st Edition by Keith A Allman ISBN 9780470242056 0470242051

(Ebook) Reverse Engineering Deals on Wall Street with Microsoft Excel A Step by Step Guide 1st Edition by Keith A Allman ISBN 9780470242056 0470242051

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ISBN 10: 0470242051
ISBN 13: 9780470242056
Author: Keith A Allman

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.

(Ebook) Reverse Engineering Deals on Wall Street with Microsoft Excel A Step by Step Guide 1st Edition Table of contents:

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

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Tags: Keith A Allman, Reverse Engineering Deals, Wall Street, Microsoft Excel