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Collateralized Debt Obligations: Structures and Analysis

Sprache: Englisch.
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Since the publication of the first edition of Collateralized Debt Obligations, the CDO market has seen tremendous growth. In fact, as of 2005, $1.1 trillion of CDOs were outstanding-making them the fastest-growing investment vehicle of the last decad … weiterlesen
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Produktdetails

Titel: Collateralized Debt Obligations: Structures and Analysis
Autor/en: Douglas J. Lucas, Laurie S. Goodman, Frank J. Fabozzi

ISBN: 0471718874
EAN: 9780471718871
Sprache: Englisch.
JOHN WILEY & SONS INC

März 2006 - gebunden - 505 Seiten

Beschreibung

Since the publication of the first edition of Collateralized Debt Obligations, the CDO market has seen tremendous growth. In fact, 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 the expanding CDO market and its various instruments, Douglas Lucas, Laurie Goodman, and Frank Fabozzi have collaborated to bring you a fully revised and up-to-date Second Edition of Collateralized Debt Obligations. Written in a clear and accessible style, this book is a valuable guide that provides you with critical information regarding the evolving nature of the CDO market.

Filled with in-depth insights gleaned from years of investment and credit experience, Collateralized Debt Obligations, Second Edition examines a wide range of issues, including:
* Cash CDOs
* Loans and CLOs
* Structured finance CDOs and collateral review
* Emerging market and market value CDOs
* Synthetic CDOs

CDOs offer exciting opportunities for those who understand their complexities. With Collateralized Debt Obligations, Second Edition as your guide, you can begin to understand and take advantage of this dynamic market and its products.

Inhaltsverzeichnis

Preface.

About the Authors.

PART ONE: INTRODUCTION TO CASH CDOs.

CHAPTER 1: Cash CDO Basics.

CHAPTER 2: Cash Flow CDOs.

PART TWO: LOANS AND CLOs.

CHAPTER 3: High-Yield Loans: Structure and Performance.

CHAPTER 4. European Bank Loans and Middle Market Loans.

PART THREE: STURCTURED FINANCE CDOs AND COLLATERAL REVIEW.

CHAPTER 5: Review of Structured Finance Collateral: Mortgage-Related Products.

CHAPTER 6: Review of Structured Finance Collateral: Nonmortgage ABS.

CHAPTER 7: Structured Finance Default and Recovery Rates.

CHAPTER 8: Structured Finance Cash Flow CDOs.

PART FOUR: OTHER TYPES OF CASH CDOs.

CHAPTER 9: Emerging Market CDOs.

CHAPTER 10: Market Value CDOs.

PART FIVE: SYNTHETIC CDOs.

CHAPTER 11: Introduction to Credit Default Swaps and Synthetic CDOs.

CHAPTER 12: Synthetic Balance Sheet CDOs.

CHAPTER 13: Synthetic Arbitrage CDOs.

CHAPTER 14: A Framework for Evaluating Trades in the Credit Derivatives Market.

CHAPTER 15: Structured Finance Credit Default Swaps and Synthetic CDOs.

PART SIX: DEFAULT CORRELATION..

CHAPTER 16: Default Correlation: The Basics.

CHAPTER 17: Empirical Default Correlations: Problems and Solutions.

PART SEVEN: CDO EQUITY.

CHAPTER 18: Why Buy CDO Equity?

CHAPTER 19: CDO Equity Returns and Return Correlation.

PART EIGHT: OTHER CDO TOPICS.

CHAPTER 20: Analytical Challenges in Secondary CDO Market Trading.

CHAPTER 21: The CDO Arbitrage.

CHAPTER 22: How to Evaluate a CDO and Manage a CDO Portfolio.

CHAPTER 23: Quantifying Single-Name Risk Across CDOs.

CHAPTER 24: CDO Rating Experience.

INDEX.

Portrait

Frank J. Fabozzi, PhD, CFP, CPA, is Editor of the Journal of Portfolio Management and an Adjunct Professor of Finance at Yale University's 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 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.

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