Investing in Collateralized Debt Obligations

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.

• 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.