Collateralized Debt Obligations: Structures and Analysis (Frank J. Fabozzi Series) - Hardcover

Goodman, Laurie S.; Fabozzi, Frank J.

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9780471234869: Collateralized Debt Obligations: Structures and Analysis (Frank J. Fabozzi Series)

Hardcover

ISBN 10: 0471234869 ISBN 13: 9780471234869

Publisher: John Wiley & Sons, 2002

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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.

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About the Author:

LAURIE S. GOODMAN, PhD, 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 products–RMBS, 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.

FRANK J. FABOZZI, PhD, CFA, 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 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.

From the Back Cover:

The collateralized debt obligation market has seen explosive growth in the last few years. To help you keep up with the expanding CDO market and its various instruments, Laurie Goodman and Frank Fabozzi have collaborated to bring you Collateralized Debt Obligations: Structures and Analysis. Written in a clear and accessible style, this book is a valuable guide that provides you with critical insights into many areas of this important market sector.

This straightforward and well–rounded resource offers a wealth of practical information on the collateralized debt obligation market and its products.

Topics covered include:
∗ Cash flow versus market value structures
∗ Synthetic structures
∗ Structures backed by speculative and investment grade corporate bonds and loans, emerging market bonds, and structured finance products
∗ The appropriate default rate for high yield–backed structures
∗ Mezzanine and equity tranches
∗ PIK tranches
∗ Structural considerations and the CDO arbitrage

Filled with in–depth insight and expert advice, Collateralized Debt Obligation is required reading for those who seek to understand this market.

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