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Cash CDO Modelling in Excel

Cash CDO Modelling in Excel Author Darren Smith
ISBN-10 9780470971673
Release 2011-12-07
Pages 354
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This book is an introduction to the modelling of cash collateralised debt obligations (“CDOs”). It is intended that the reader have a basic understanding of CDOs and a basic working knowledge of Microsoft Office Excel. There will be written explanations of concepts along with understandable mathematical explanations and examples provided in Excel. A CD-ROM containing these Excel examples will accompany the book.



Credit Risk Modeling Using Excel and VBA

Credit Risk Modeling Using Excel and VBA Author Gunter Löeffler
ISBN-10 9780470660928
Release 2011-01-31
Pages 342
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This book provides practitioners and students with an intuitive, hands-on introduction to modern credit risk modelling. Every chapter starts with an explanation of the methodology and then the authors take the reader step by step through the implementation of the methods in Excel and VBA.



Collateralized Debt Obligations and Structured Finance

Collateralized Debt Obligations and Structured Finance Author Janet M. Tavakoli
ISBN-10 047148136X
Release 2004-03-29
Pages 352
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The most cutting-edge read on CDO and credit market structures Collateralized Debt Obligations and Structured Finance provides a state-of-the-art look at the exploding CDO and structured credit products market. Financial expert Janet Tavakoli examines securitization topics never before seen in print, including the huge increase in the CDO arbitrage created by synthetics; the tranches most at risk from this new technology; dumping securitizations on bank balance sheets; the abuse of offshore vehicles by companies such as Enron; and securitizations made possible by new securitization techniques and the introduction of the Euro. This valuable guide comprehensively covers one of the fastest growing markets on Wall Street, predicting where new bank regulations and other developments may lead to product growth or product extinction. While providing an overview of the market and its dynamic growth, Collateralized Debt Obligations and Structured Finance explores the types of products offered, hedging techniques, and valuation and risk/return issues associated with investment in CDOs and synthetic CDOs. Janet M. Tavakoli, MBA (Chicago, IL), has over eighteen years of experience trading, structuring, and marketing derivatives and structured products with major financial institutions in New York and London. She is also the author of Credit Derivatives and Synthetic Structures, now in its Second Edition (0-471-41266-X).



Modeling Derivatives Applications in Matlab C and Excel

Modeling Derivatives Applications in Matlab  C    and Excel Author Justin London
ISBN-10 0131962590
Release 2007
Pages 565
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Hundreds of financial institutions now market complex derivatives; thousands of financial and technical professionals need to model them accurately and effectively. This volume brings together proven, tested real-time models for each of todays leading modeling platforms to help professionals save months of development time, while improving the accuracy and reliability of the models they create.



Applied Survival Analysis

Applied Survival Analysis Author David W. Hosmer, Jr.
ISBN-10 9781118211588
Release 2011-09-23
Pages 416
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THE MOST PRACTICAL, UP-TO-DATE GUIDE TO MODELLING AND ANALYZING TIME-TO-EVENT DATA—NOW IN A VALUABLE NEW EDITION Since publication of the first edition nearly a decade ago, analyses using time-to-event methods have increase considerably in all areas of scientific inquiry mainly as a result of model-building methods available in modern statistical software packages. However, there has been minimal coverage in the available literature to9 guide researchers, practitioners, and students who wish to apply these methods to health-related areas of study. Applied Survival Analysis, Second Edition provides a comprehensive and up-to-date introduction to regression modeling for time-to-event data in medical, epidemiological, biostatistical, and other health-related research. This book places a unique emphasis on the practical and contemporary applications of regression modeling rather than the mathematical theory. It offers a clear and accessible presentation of modern modeling techniques supplemented with real-world examples and case studies. Key topics covered include: variable selection, identification of the scale of continuous covariates, the role of interactions in the model, assessment of fit and model assumptions, regression diagnostics, recurrent event models, frailty models, additive models, competing risk models, and missing data. Features of the Second Edition include: Expanded coverage of interactions and the covariate-adjusted survival functions The use of the Worchester Heart Attack Study as the main modeling data set for illustrating discussed concepts and techniques New discussion of variable selection with multivariable fractional polynomials Further exploration of time-varying covariates, complex with examples Additional treatment of the exponential, Weibull, and log-logistic parametric regression models Increased emphasis on interpreting and using results as well as utilizing multiple imputation methods to analyze data with missing values New examples and exercises at the end of each chapter Analyses throughout the text are performed using Stata® Version 9, and an accompanying FTP site contains the data sets used in the book. Applied Survival Analysis, Second Edition is an ideal book for graduate-level courses in biostatistics, statistics, and epidemiologic methods. It also serves as a valuable reference for practitioners and researchers in any health-related field or for professionals in insurance and government.



Structured Finance Modeling with Object Oriented VBA

Structured Finance Modeling with Object Oriented VBA Author Evan Tick
ISBN-10 9781118160664
Release 2011-07-28
Pages 352
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A detailed look at how object-oriented VBA should be used to model complex financial structures This guide helps readers overcome the difficult task of modeling complex financial structures and bridges the gap between professional C++/Java programmers writing production models and front-office analysts building Excel spreadsheet models. It reveals how to model financial structures using object-oriented VBA in an Excel environment, allowing desk-based analysts to quickly produce flexible and robust models. Filled with in-depth insight and expert advice, it skillfully illustrates the art of object-oriented programming for the explicit purpose of modeling structured products. Residential mortgage securitization is used as a unifying example throughout the text.



Quantitative Finance

Quantitative Finance Author Matt Davison
ISBN-10 9781439871690
Release 2014-05-08
Pages 532
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Teach Your Students How to Become Successful Working Quants Quantitative Finance: A Simulation-Based Introduction Using Excel provides an introduction to financial mathematics for students in applied mathematics, financial engineering, actuarial science, and business administration. The text not only enables students to practice with the basic techniques of financial mathematics, but it also helps them gain significant intuition about what the techniques mean, how they work, and what happens when they stop working. After introducing risk, return, decision making under uncertainty, and traditional discounted cash flow project analysis, the book covers mortgages, bonds, and annuities using a blend of Excel simulation and difference equation or algebraic formalism. It then looks at how interest rate markets work and how to model bond prices before addressing mean variance portfolio optimization, the capital asset pricing model, options, and value at risk (VaR). The author next focuses on binomial model tools for pricing options and the analysis of discrete random walks. He also introduces stochastic calculus in a nonrigorous way and explains how to simulate geometric Brownian motion. The text proceeds to thoroughly discuss options pricing, mostly in continuous time. It concludes with chapters on stochastic models of the yield curve and incomplete markets using simple discrete models. Accessible to students with a relatively modest level of mathematical background, this book will guide your students in becoming successful quants. It uses both hand calculations and Excel spreadsheets to analyze plenty of examples from simple bond portfolios. The spreadsheets are available on the book’s CRC Press web page.



Reverse Engineering Deals on Wall Street with Microsoft Excel Website

Reverse Engineering Deals on Wall Street with Microsoft Excel   Website Author Keith A. Allman
ISBN-10 9780470472156
Release 2008-12-11
Pages 224
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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.



Dynamic Systems

Dynamic Systems Author Raymond C. Kluever
ISBN-10 9781118289457
Release 2015-04-06
Pages 496
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Wiley introduces a new offering in dynamic systems—Dynamic Systems: Modeling, Simulation, and Control by Craig Kluever. This text highlights essential topics such as analysis, design, and control of physical engineering systems, often composed of interacting mechanical, electrical and fluid subsystem components. Dynamic Systems: Modeling, Simulation, and Control is intended for an introductory course in dynamic systems and control, and written for mechanical engineering and other engineering curricula. Major topics covered in this text include mathematical modeling, system-response analysis, and an introduction to feedback control systems. Dynamic Systems integrates an early introduction to numerical simulation using MATLAB®’s Simulink for integrated systems. Simulink® and MATLAB® tutorials for both software programs will also be provided. The author’s text also has a strong emphasis on real-world case studies. Derived from top-tier engineering from the AMSE Journal of Dynamic Systems, Measurement, and Control, case studies are leveraged to demonstrate fundamental concepts as well as the analysis of complex engineering systems. In addition, Dynamic Systems delivers a wide variety of end of chapter problems, including conceptual problems, MATLAB® problems, and Engineering Application problems.



Engineering Design Graphics

Engineering Design Graphics Author James Leake
ISBN-10 1118078888
Release 2012-06-25
Pages 400
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James Leake's 2nd Edition of Engineering Design Graphics builds upon the previous text with more in-depth and enhanced information on projection theory that provides instructional framework and freehand sketching for learning important graphical concepts. Furthermore, the text provides clear, concise information about topics addressed in modern engineering design graphics as well as hundreds of additional sketching problems, all serving to develop sketching skills for ideation and communication and to develop critical spatial visualization skills.



Fixed Income Securities and Derivatives Handbook

Fixed Income Securities and Derivatives Handbook Author Moorad Choudhry
ISBN-10 1576603342
Release 2010-08-02
Pages 475
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Praise for Fixed-Income Securities and Derivatives Handbook Second Edition "I have been looking for books for my clients and obtained a copy of your book. I think it is the best book about fixed-income securities out there. The book is extremely well written and is the best resource I have found so far." —Patrick Y. Shim, Financial Advisor, CG Investment Group, Wells Fargo Advisors, LLC The Second Edition of the Fixed-Income Securities and Derivatives Handbook is a fully updated and expanded post-crash edition of Moorad Choudhry's bestselling guide. In this latest edition, he explains the new regulatory twists, the evolving derivatives market, as well as a new set of instruments and opportunities in the bond market. Thoroughly updated and revised, this Second Edition includes new material on important topics such as: A practical demonstration of cubic spline methodology, useful in constructing yield curves The latest developments in the credit derivative market An accessible analysis of credit default swap pricing principles A description of inflation-indexed derivatives A more detailed look at the basic principles of securitization and an updated chapter on collateralized debt obligations A new chapter on credit analysis and the different metrics used to measure bond-relative value Written in a straightforward and accessible style, Moorad Choudhry's new book offers the ideal mix of practical tips and academic theory.



Rating Based Modeling of Credit Risk

Rating Based Modeling of Credit Risk Author Stefan Trueck
ISBN-10 0080920306
Release 2009-01-15
Pages 280
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In the last decade rating-based models have become very popular in credit risk management. These systems use the rating of a company as the decisive variable to evaluate the default risk of a bond or loan. The popularity is due to the straightforwardness of the approach, and to the upcoming new capital accord (Basel II), which allows banks to base their capital requirements on internal as well as external rating systems. Because of this, sophisticated credit risk models are being developed or demanded by banks to assess the risk of their credit portfolio better by recognizing the different underlying sources of risk. As a consequence, not only default probabilities for certain rating categories but also the probabilities of moving from one rating state to another are important issues in such models for risk management and pricing. It is widely accepted that rating migrations and default probabilities show significant variations through time due to macroeconomics conditions or the business cycle. These changes in migration behavior may have a substantial impact on the value-at-risk (VAR) of a credit portfolio or the prices of credit derivatives such as collateralized debt obligations (D+CDOs). In Rating Based Modeling of Credit Risk the authors develop a much more sophisticated analysis of migration behavior. Their contribution of more sophisticated techniques to measure and forecast changes in migration behavior as well as determining adequate estimators for transition matrices is a major contribution to rating based credit modeling. Internal ratings-based systems are widely used in banks to calculate their value-at-risk (VAR) in order to determine their capital requirements for loan and bond portfolios under Basel II One aspect of these ratings systems is credit migrations, addressed in a systematic and comprehensive way for the first time in this book The book is based on in-depth work by Trueck and Rachev



Financial Simulation Modeling in Excel

Financial Simulation Modeling in Excel Author Keith A. Allman
ISBN-10 9781118137222
Release 2011-09-02
Pages 216
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"I've worked with simulation in business for over 20 years, and Allman really nails it with this book. I admit that I own his previous book on structured finance cash flows, but I was surprised by what I found in here. He addresses the fundamental questions of how decision makers react to simulations and his read was very much in accordance with what I've experienced myself. When it came to the nuts and bolts of describing the different types of simulation analysis the book becomes incredibly detailed. There is working code and models for a fantastic array of the most common simulation problems. If you're so inclined, the book very carefully steps through the tricky math needed to really understand the theory behind stochastic modeling in finance. If you're preparing models that include any kind of randomization or stochastic modeling component, this book is a must-read, a tremendous value and time-saver." — David Brode of The Brode Group A practical guide to understanding and implementing financial simulation modeling As simulation techniques become more popular among the financial community and a variety of sub-industries, a thorough understanding of theory and implementation is critical for practitioners involved in portfolio management, risk management, pricing, and capital budgeting. Financial Simulation Modeling in Excel contains the information you need to make the most informed decisions possible in your professional endeavors. Financial Simulation Modeling in Excel contains a practical, hands-on approach to learning complex financial simulation methodologies using Excel and VBA as a medium. Crafted in an easy to understand format, this book is suitable for anyone with a basic understanding of finance and Excel. Filled with in-depth insights and expert advice, each chapter takes you through the theory behind a simulation topic and the implementation of that same topic in Excel/VBA in a step-by-step manner. Organized in an easy-to-follow fashion, this guide effectively walks you through the process of creating and implementing risk models in Excel A companion website contains all the Excel models risk experts and quantitative analysts need to practice and confirm their results as they progress Keith Allman is the author of other successful modeling books, including Corporate Valuation Modeling and Modeling Structured Finance Cash Flows with Microsoft Excel Created for those with some background in finance and experience in Excel, this reliable resource shows you how to effectively perform sound financial simulation modeling, even if you've yet to do extensive modeling up to this point in your professional or academic career.



SolidWorks Surfacing and Complex Shape Modeling Bible

SolidWorks Surfacing and Complex Shape Modeling Bible Author Matt Lombard
ISBN-10 9781118078976
Release 2011-06-24
Pages 460
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If you want to gain proficiency and expertise with SolidWorks surface modeling, this is the resource for you. You'll learn how to apply concepts, utilize tools, and combine techniques and strategies in hands-on tutorials. This Bible covers the range from sketching splines and shelling to modeling blends and decorative features. Complete with professional tips and real-world examples, this inclusive guide enables you to coax more out of SolidWorks surfacing tools.



Financial Products

Financial Products Author Bill Dalton
ISBN-10 1139474057
Release 2008-10-02
Pages 408
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Financial Products provides a step-by-step guide to some of the most important ideas in financial mathematics. It describes and explains interest rates, discounting, arbitrage, risk neutral probabilities, forward contracts, futures, bonds, FRA and swaps. It shows how to construct both elementary and complex (Libor) zero curves. Options are described, illustrated and then priced using the Black Scholes formula and binomial trees. Finally, there is a chapter describing default probabilities, credit ratings and credit derivatives (CDS, TRS, CSO and CDO). An important feature of the book is that it explains this range of concepts and techniques in a way that can be understood by those with only a basic understanding of algebra. Many of the calculations are illustrated using Excel spreadsheets, as are some of the more complex algebraic processes. This accessible approach makes it an ideal introduction to financial products for undergraduates and those studying for professional financial qualifications.



Modeling Derivatives Applications in Matlab C and Excel

Modeling Derivatives Applications in Matlab  C    and Excel Author Justin London
ISBN-10 0131962590
Release 2007
Pages 565
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Hundreds of financial institutions now market complex derivatives; thousands of financial and technical professionals need to model them accurately and effectively. This volume brings together proven, tested real-time models for each of todays leading modeling platforms to help professionals save months of development time, while improving the accuracy and reliability of the models they create.



Correlation Risk Modeling and Management Website

Correlation Risk Modeling and Management    Website Author Gunter Meissner
ISBN-10 111879690X
Release 2014-03-24
Pages 350
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A thorough guide to correlation risk and its growing importance in global financial markets Ideal for anyone studying for CFA, PRMIA, CAIA, or other certifications, Correlation Risk Modeling and Management is the first rigorous guide to the topic of correlation risk. A relatively overlooked type of risk until it caused major unexpected losses during the financial crisis of 2007 through 2009, correlation risk has become a major focus of the risk management departments in major financial institutions, particularly since Basel III specifically addressed correlation risk with new regulations. This offers a rigorous explanation of the topic, revealing new and updated approaches to modelling and risk managing correlation risk. Offers comprehensive coverage of a topic of increasing importance in the financial world Includes the Basel III correlation framework Features interactive models in Excel/VBA, an accompanying website with further materials, and problems and questions at the end of each chapter