Enstruct’s principal’s debut book on modeling structured finance securities. It is an easily accessible text that takes a reader through every component of the analytical process for structured finance assets. Readers build their modeling experience in each chapter through Model Builder exercises, which culminate into a final, consolidated model. Included with this text is a CD-ROM with the Excel versions of the Model Builder exercises and the complete model.
The following discrepancies and errata have been reported in earlier versions of the text. Later versions may have these issues edited out. If you discover any yourself please forward them to info@enstructcorp.com.
Chapter 2
p. 31 Step 14 instructs the reader to enter 1.50% for the margin, however the CD-ROM models leave this field blank. The corrected model files should have 1.50% entered for the margin to begin with. Read the rest of this entry »
Given the lack of transparency in the market and the difficult time investors have in understanding complex Wall Street transaction, Keith Allman’s second book takes readers through the detailed process of reverse engineering a deal by decomposing legal documentation and rebuilding it in an computer model. Using a sophisticated mortgage-backed transaction as an example, the book jumps between excerpts from the legal documentation and the corresponding Excel formulas and code.