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Collateralized Debt Obligations: Structures and Analysis

Collateralized Debt Obligations: Structures and Analysis

Laurie S. Goodman, Frank J. Fabozzi

ISBN: 978-0-471-44561-6

Nov 2002

384 pages

Select type: E-Book



A practical guide to the features and investment characteristics of CDOs
In the bond area, collateralized debt obligations, which include collateralized bond obligations and collateralized loan obligations, are the fastest-growing sector. Collateralized Debt Obligations: Structures and Analysis describes the various products in this area-cash flow CDOs, market value CDOs, synthetic CDOs, etc.-and explains how to evaluate them. With this book as their guide, investment managers and institutional investors alike will learn how to analyze the risks associated with CDOs, create a portfolio of CDO products, and assess trading opportunities in the secondary market.

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.