Collateralized Debt Obligations

by Laurie S. Goodman; Frank J. Fabozzi

• ISBN13: 9780471234869
• ISBN10: 0471234869
• Format: Hardcover
• Copyright: 2002-01-01
• Publisher: Wiley

Summary

Since first edition's publication, the CDO market has seen tremendous growth. As of 2005, $1.1 trillion of CDOs were outstanding -- making them the fastest-growing investment vehicle of the last decade. To help you keep up with this expanding market and its various instruments, Douglas Lucas, Laurie Goodman, and Frank Fabozzi have collaborated to bring you this fully revised and up-to-date new edition of Collateralized Debt Obligations. Written in a clear and accessible style, this valuable resource provides critical information regarding the evolving nature of the CDO market. You'll find in-depth insights gleaned from years of investment and credit experience as well as the examination of a wide range of issues, including cash CDOs, loans and CLOs, structured finance CDOs and collateral review, emerging market and market value CDOs, and synthetic CDOs. Use this book as your guide and take advantage of this dynamic market and its products.

Author Biography

<b>LAURIE S. GOODMAN, PhD,</b> is a Managing Director at UBS Warburg and Head of the U.S. Securitized Products Strategy Group. She is responsible for research on the full range of securitized productsûRMBS, ABS, CMBS, and CDOs. Dr. Goodman has worked on Wall Street for twenty years and is very well regarded by the investor community, having won more #1 slots on the Institutional Investor All-American Fixed-Income Research Team than any other analyst. She earned a doctorate in economics from Stanford University in 1978. <p> <b>FRANK J. FABOZZI, PhD, CFA,</b> is Editor of the Journal of Portfolio Management and an Adjunct Professor of Finance at Yale Universitys School of Management. Dr. Fabozzi is on the board of directors of the Guardian Life family of funds and the BlackRock complex of funds. He is also an Advisory Analyst for Global Asset Management (GAM) with responsibilities as Consulting Director for portfolio construction, risk control, and evaluation. He earned a doctorate in economics from the City University of New York in 1972 and, in 1994, received an honorary doctorate of humane letters from Nova Southeastern University. Dr. Fabozzi is a Fellow of the International Center for Finance at Yale University.

Table of Contents

Preface.

About the Authors.

Chapter 1. Introduction.

Chapter 2. Cash Flow CDOs.

Chapter 3. High-Yield Default Rates and Their Application to CDO Analysis.

Chapter 4. Review of Structured Finance Collateral.

Chapter 5. Structured Finance Cash Flow CDOs.

Chapter 6. Emerging Market CDOs.

Chapter 7. Market Value CDOs.

Chapter 8. Synthetic Balance Sheet CDOs.

Chapter 9. Synthetic Arbitrage CDOs.

Chapter 10. Considerations in Creating CDOs and Their Investment Implications.

Chapter 11. Participating Coupon Notes.

Chapter 12. Relative Value Methodology for Analyzing Mezzanine Tranches.

Chapter 13. Analyzing CDO Equity Tranches.

Chapter 14. Payament-in-Kind CDO Tranches.

Chapter 15. Secondary Market Trading Opportunities and Managing a Portfolio of CDOs.

Index.