Edited by Frank J. Fabozzi and Laurie S. Goodman Table of Contents: 1. Introduction to Collateralized Debt Obligations (Charles Schorin and Steven Weinreich); 2. Structural Features of Market Value CDOs (Luigi Vacca); 3. Rating Agency Methodologies (Meredith Hill and Luigi Vacca); 4. CDO Structure and Arbitrage (Laurie Goodman); 5. Emerging Market CBOs (Laurie Goodman); 6. Mortgage Cash Flow CBOs (Laurie Goodman); 7. CDOs Backed by ABS and Commercial Real Estate (R. Russell Hurst); 8. Synthetic CDOs (Laurie Goodman); 9. Cash and Synthetic European Bank CLOs (Alexsander Batchvarov, Ganesh Rajendra, William Ross, and Xavier De Pauw); 10. Analyzing Mezzanine Tranches of CBOs (Laurie Goodman); 11. Relative Value Framework for Collateralized Debt Obligations (Charles Schorin and Steven Weinreich); 12. Pricing Market Value Debt and Equity (Luigi Vacca); 13. Use of Credit Derivatives in CBO/ CLO Structures (Meredith Hill and Luigi Vacca) About the authors: 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 231 Pages |
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