Investing in Collateralized Debt ObligationsISBN: 978-1-883249-90-8
Hardcover
248 pages
May 2001
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Preface.
Contributing Authors.
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).
Index.
Contributing Authors.
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).
Index.
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