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Structured Finance Analysis and Modeling

Structured Finance Analysis and Modeling

Structured Finance Analysis and Modeling

  • img 16+ hours of instruction
  • img 40 Demonstrations
  • img 29 Participant exercises
  • img Downloadable data stratification tool
  • img 2 Downloadable professional level models
  • img 6 months of access
  • img  $749 USD
  • img $649 USD Student Version (Contact Us)

Structured Finance Analysis and Modeling

Structured finance analysis and modeling tends to be more technical and some will say more difficult than other financial disciplines. Our flagship structured finance course is a rigorous and comprehensive curriculum that teaches the analysis and modeling required for structured finance transactions. This course takes participants through every step of creating and analyzing a structured finance transaction, inclusive of asset calculations, default, recovery, and prepayment integration, and an expansive look at liability structuring. It also doesn’t just stop when participants understand a model, but takes users through rating agency methodology, deal analysis techniques. With over 16 hours of instruction, this course also includes 40 demos, 29 exercises, and 3 fully operational models including a stratification tool, structuring model, and a lognormal expected loss model.

Course Outline


Asset Classes & Motivations

Basic Layout & Design

Stratification Report

Basic Functions

Advanced Functions


Excel Program Functionality

Inputs: Scalars and Vectors

Scenario Set-Up

Dates & Timing

Date & Timing Set-Up

Basic Loan Amortization

Multiple Types of Amortization

Focus on Level Payments

Rep Lines vs. Loan Level Amort


Basic Default Curve Creation

Trending & Extrapolating Default

Integrating Default into Amortization

Default Recovery Concept

Recovery Calculations

Recovery Lag

Integrating Recoveries into Amortization

Prepayment Concepts and Terminology

Calculation Types and SMM

Historical Prepay Analysis

Integrating Prepayments into Amortization





Excess Spread

“O/C” Overcollateralization

Reserve Accounts / Liquidity Facilities


Internal Model Tests

Basic Analytics

Advanced Analytics


Major Agencies & Methods

First Loss Methodology

Expected Loss / Lognormal Model

Quantitative Aspects of Ratings

Using a Structured Finance Model

Pricing Case

Stress Cases

Structural Adjustments