Covers modeling of MBSs, ABSs and CDOs in Excel with VBA. The author presents a three-stage approach to modeling—loss generation, collateral cash flow modeling, and bond cash flow modeling. There are plenty of examples, focusing on subprime mortgage deals. You will learn about both securitizations and VBA, but prior knowledge of both is essential. Read Hayre (2001), Lucas, Goodman and Fabozzi (2006) and Jackson and Staunton (2001) first, if necessary ...