Synopses & Reviews
The fastest growing sector of the asset-backed securities market is the collateralized debt obligation (CDO) market. CDOs are securities backed by a pool of diversified assets and are referred to as collateralized bond obligations (CBOs) when the underlying assets are bonds and as collateralized loan obligations (CLOs) when the underlying assets are bank loans. Investing in Collateralized Debt Obligations covers not only the fundamental features of these securities and the investment characteristics that make them attractive to a broad range of institutional investors, but also the tools for identifying relative value. Nearly a dozen of todays best known analysts discuss emerging market CBOs, relative value frameworks, pricing strategies and techniques, and more.
"Frank Fabozzi's series is the gold standard for investment reference books. Always topical and often influential this is the first place I send students or practitioners when they want to get up to speed on a new area." (Stephen A. Ross, Franco Modigliani Professor of Finance and Economics, Sloan School, MIT)
"The Fabozzi series provides the ultimate educational encyclopedia for the global debt capital markets. Each day, billions of dollars of debt securities trade around the world according to the principles clearly and comprehensively explained in this unrivaled series dedicated to the advancement of our knowledge-based profession." (Jack Malvey, Managing Director, Chief Global Fixed-Income Strategist, Lehman Brothers)
"When in doubt, you can always look it up in a book by Frank Fabozzi. Fabozzi, who's not called the Prolific Professor for nothing, has written or edited dozens of textbooks on investing--all rock-solid, for advanced investors only." (Jason Zwieg, Money.com)
About the Author
Frank J. Fabozzi is a financial consultant, the editor of the Journal of Portfolio Management, and an Adjunct Professor of Finance at Yale University's School of Management. Laurie S. Goodman is a managing director at UBS Warburg.
Table of Contents
Introduction to Collateralized Debt Obligations (C. Schorin and S. Weinreich).
Structural Features of Market Value CDOs (L. Vacca).
Rating Agency Methodologies (M. Hill and L. Vacca).
CDO Structure and Arbitrage (L. Goodman).
Emerging Market CBOs (L. Goodman).
Mortgage Cash Flow CBOs (L. Goodman).
CDOs Backed by ABS and Commercial Real Estate (R. Hurst).
Synthetic CDOs (L. Goodman).
Cash and Synthetic European Bank CLOs (A. Batchvarov, et al.).
Analyzing Mezzanine Tranches of CBOs (L. Goodman and J. Ho).
Relative Value Framework for Collateralized Debt Obligations (C. Schorin and S. Weinreich).
Pricing Debt and Equity in a Market Value CDO (L. Vacca).
Use of Credit Derivatives in CBO/CLO Structures (M. Hill and L. Vacca).