Collateralized Debt Obligations

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.

Douglas J. Lucas is Executive Director and Head of CDO Research at UBS. He is also Chairman of The Bond Market Association's CDO Research Committee and ranked top three in CDO research in the Institutional Investor's fixed income analyst survey. Lucas has been involved in the CDO market for nearly two decades, having developed Moody's rating methodology for CDOs in 1989.
 

LAURIE S. GOODMAN, PhD, is Managing Director and co-Head of Global Fixed Income Research at UBS. She manages U.S. Securitized Products and Treasury/Agency/Derivatives Research. Goodman has worked on Wall Street for over twenty years and is well regarded by the investor community, having won more #1 slots on the Institutional Investor All-American Fixed Income Team than any other analyst.
 
FRANK J. FABOZZI, PhD, CFA, CPA, is an Adjunct Professor of Finance and Becton Fellow at Yale University's School of Management and a Fellow of the International Center for Finance. Fabozzi is the Editor of the Journal of Portfolio Management.