{"product_id":"collateralized-debt-obligations-structures-and-analysis-frank-j-fabozzi-series-9780471718871","title":"Collateralized Debt Obligations Structures and","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eCollateralized Debt Obligations, Second Edition provides updated coverage of this exciting and profitable market and describes the various products in the collateral debt obligation area, from cash flow CDOs and market value CDOs to synthetic CDOs.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cp\u003ePreface xiii\u003c\/p\u003e \u003cp\u003eAbout the Authors xxi\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart One Introduction to Cash CDOs 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 Cash CDO Basics 3\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eWhy Study CDOs? 3\u003c\/p\u003e \u003cp\u003eUnderstanding CDOs 4\u003c\/p\u003e \u003cp\u003eCredit Structures 10\u003c\/p\u003e \u003cp\u003eA CDO Structural Matrix 13\u003c\/p\u003e \u003cp\u003eCDOs Being Offered Today 14\u003c\/p\u003e \u003cp\u003eParties to a CDO 14\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Cash Flow CDOs 17\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDistribution of Cash Flows 17\u003c\/p\u003e \u003cp\u003eRestrictions on Management: Safety Nets 20\u003c\/p\u003e \u003cp\u003eCredit Ratings 23\u003c\/p\u003e \u003cp\u003eCall Provisions in CDO Transactions 38\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Two Loans and CLOs 41\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 High-Yield Loans: Structure and Performance 43\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Loan Market 44\u003c\/p\u003e \u003cp\u003eThe Syndication Process 46\u003c\/p\u003e \u003cp\u003eLoan Structure and Leaders 48\u003c\/p\u003e \u003cp\u003eLoan Interest Rates and Upfront Fees 49\u003c\/p\u003e \u003cp\u003eLoan Credit Quality 51\u003c\/p\u003e \u003cp\u003eLender’s Liability 52\u003c\/p\u003e \u003cp\u003eOverview of Loan Terms 53\u003c\/p\u003e \u003cp\u003eLoan Terms versus Bond Terms 58\u003c\/p\u003e \u003cp\u003eA Tale of Two Loans 58\u003c\/p\u003e \u003cp\u003eThe Secondary Market 60\u003c\/p\u003e \u003cp\u003eLoan Recovery Rates 61\u003c\/p\u003e \u003cp\u003eLoan Default Rates 63\u003c\/p\u003e \u003cp\u003eHigh-Yield Loan CLO versus High-Yield Bond CBO Performance 67\u003c\/p\u003e \u003cp\u003eConclusion 74\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 European Bank Loans and Middle Market Loans 75\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eEuropean Bank Loans 75\u003c\/p\u003e \u003cp\u003eMiddle Market Loans 91\u003c\/p\u003e \u003cp\u003eConclusion 99\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Three Structured Finance CDOs and Collateral Review 101\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Review of Structured Finance Collateral: Mortgage-Related Products 103\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eResidential Mortgage-Backed Securities 103\u003c\/p\u003e \u003cp\u003eCommercial Mortgage-Backed Securities 125\u003c\/p\u003e \u003cp\u003eReal Estate Investment Trust Debt 129\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Review of Structured Finance Collateral: Nonmortgage ABS 135\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCredit Card Receivable-Backed Securities 135\u003c\/p\u003e \u003cp\u003eAuto Loan-Backed Securities 137\u003c\/p\u003e \u003cp\u003eStudent Loan-Backed Securities 139\u003c\/p\u003e \u003cp\u003eSBA Loan-Backed Securities 141\u003c\/p\u003e \u003cp\u003eAircraft Lease-Backed Securities 142\u003c\/p\u003e \u003cp\u003eFranchise Loan-Backed Securities 145\u003c\/p\u003e \u003cp\u003eRate Reduction Bonds 148\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Structured Finance Default and Recovery Rates 153\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eStructured Finance versus Corporate Default Rates 154\u003c\/p\u003e \u003cp\u003eS\u0026amp;P Rating Transition Studies and the Matrix Multiplying Approach 156\u003c\/p\u003e \u003cp\u003eResults of Multiplying S\u0026amp;P Rating Transition Matrices 158\u003c\/p\u003e \u003cp\u003eS\u0026amp;P on Structured Finance Loss Given Default 159\u003c\/p\u003e \u003cp\u003eS\u0026amp;P Constant Annual Default and Recoveries 159\u003c\/p\u003e \u003cp\u003eMoody’s Material Impairment Study 160\u003c\/p\u003e \u003cp\u003eComparing and Reconciling Structured Finance Default Rates 162\u003c\/p\u003e \u003cp\u003eMoody’s on Structured Finance Historical Loss Rates 164\u003c\/p\u003e \u003cp\u003eMoody’s Constant Annual Default and Recoveries 166\u003c\/p\u003e \u003cp\u003eBlending S\u0026amp;P and Moody’s Studies 167\u003c\/p\u003e \u003cp\u003eApplying CDRs and Recoveries to SF CDOs 167\u003c\/p\u003e \u003cp\u003eConclusion 170\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Structured Finance Cash Flow CDOs 171\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eSF CDOs versus High-Yield CDOs 172\u003c\/p\u003e \u003cp\u003eRating Agencies on Structured Finance CDOs 174\u003c\/p\u003e \u003cp\u003eStructured Finance Assets’ Negative Convexity 182\u003c\/p\u003e \u003cp\u003eExtension Risk 183\u003c\/p\u003e \u003cp\u003eConclusion 185\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Four Other Types of Cash CDOs 187\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Emerging Market CDOs 189\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eEM Sovereign Bond Defaults 190\u003c\/p\u003e \u003cp\u003eWhy the Better Track Record? 192\u003c\/p\u003e \u003cp\u003eCDO Rating Differences: EM versus High Yield 193\u003c\/p\u003e \u003cp\u003eConclusion 198\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 Market Value CDOs 201\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCash Flow versus Market Value Deals 201\u003c\/p\u003e \u003cp\u003eThe Rating Process 202\u003c\/p\u003e \u003cp\u003eHow Advance Rates are Derived 212\u003c\/p\u003e \u003cp\u003eConclusion 215\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Five Synthetic CDOs 217\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11 Introduction to Credit Default Swaps and Synthetic CDOs 219\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCredit Default Swaps 219\u003c\/p\u003e \u003cp\u003eSynthetic CDOs 229\u003c\/p\u003e \u003cp\u003eConclusion 239\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12 Synthetic Balance Sheet CDOs 241\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCash CLOs for Balance Sheet Management 241\u003c\/p\u003e \u003cp\u003ePartially Funded Synthetic CDOs 249\u003c\/p\u003e \u003cp\u003eConclusion 253\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 13 Synthetic Arbitrage CDOs 255\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eFull Capital Structure Synthetic Arbitrage CDOs 256\u003c\/p\u003e \u003cp\u003eSingle-Tranche CDOs 260\u003c\/p\u003e \u003cp\u003eStandard Tranches of CDS Indices 261\u003c\/p\u003e \u003cp\u003eConclusion 262\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 14 A Framework for Evaluating Trades in the Credit Derivatives Market 265\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAssessing Single-Name and CDO Tranched Exposures 266\u003c\/p\u003e \u003cp\u003eAssessing CDO Equity versus a Basket Swap 274\u003c\/p\u003e \u003cp\u003eConclusion 280\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 15 Structured Finance Credit Default Swaps and Synthetic CDOs 281\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDifferences between Corporate and Structured Finance Credit 282\u003c\/p\u003e \u003cp\u003eDifficulties in SF CDS 284\u003c\/p\u003e \u003cp\u003eSF CDS Effect on SF CDO Management 294\u003c\/p\u003e \u003cp\u003eTwo New Types of SF CDOs 295\u003c\/p\u003e \u003cp\u003eEffects of SF CDS on CDO Credit Quality and Spreads 296\u003c\/p\u003e \u003cp\u003eConclusion 297\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Six Default Correlation 299\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 16 Default Correlation: The Basics 301\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDefault Correlation Defined 301\u003c\/p\u003e \u003cp\u003eDefault Probability and Default Correlation 305\u003c\/p\u003e \u003cp\u003eConclusion 321\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 17 Empirical Default Correlations: Problems and Solutions 323\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eEmpirical Results 323\u003c\/p\u003e \u003cp\u003eProblems with Historical Default Correlations 327\u003c\/p\u003e \u003cp\u003eProposed Solutions 330\u003c\/p\u003e \u003cp\u003eConclusion 344\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Seven CDO Equity 345\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 18 Why Buy CDO Equity? 347\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eNonrecourse Term Financing 347\u003c\/p\u003e \u003cp\u003eThe Forgiving Nature of CDO Financing 354\u003c\/p\u003e \u003cp\u003eCDO Options 356\u003c\/p\u003e \u003cp\u003eCDO Equity as a Defensive Strategy 359\u003c\/p\u003e \u003cp\u003eConclusion 360\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 19 CDO Equity Returns and Return Correlation 361\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eFlawed Methodologies 362\u003c\/p\u003e \u003cp\u003eThe Appropriate Lesson from History 365\u003c\/p\u003e \u003cp\u003eLoan Defaults and Recoveries 367\u003c\/p\u003e \u003cp\u003eCash Flow Modeling Defaults and Recoveries 370\u003c\/p\u003e \u003cp\u003eStructured Finance Defaults and Recoveries 371\u003c\/p\u003e \u003cp\u003eSF CDO Cash Flow Modeling 372\u003c\/p\u003e \u003cp\u003eReturn Correlation and Nonrecourse Leverage 374\u003c\/p\u003e \u003cp\u003eConclusion 378\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart Eight Other CDO Topics 379\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 20 Analytical Challenges in Secondary CDO Market Trading 381\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eImportant Developments: Spread Tightening, Increased Activity 382\u003c\/p\u003e \u003cp\u003ePitfalls in Secondary CDO Trading 384\u003c\/p\u003e \u003cp\u003eEight-Point Checklist in Evaluating a CDO in the Secondary Market 387\u003c\/p\u003e \u003cp\u003ePrescription for Making Primary Issuances Conducive to Secondary Trading 408\u003c\/p\u003e \u003cp\u003eConclusion 409\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 21 The CDO Arbitrage 411\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBuilding Blocks 411\u003c\/p\u003e \u003cp\u003eImpact of CDO Arbitrage on Structure 422\u003c\/p\u003e \u003cp\u003eConclusion 425\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 22 How to Evaluate a CDO and Manage a CDO Portfolio 427\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIncentive Clashes in CDO Structures 427\u003c\/p\u003e \u003cp\u003eEvaluate Structural Enhancements 428\u003c\/p\u003e \u003cp\u003eEvaluating the Manager’s Track Record 429\u003c\/p\u003e \u003cp\u003eConclusion 434\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 23 Quantifying Single-Name Risk Across CDOs 435\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCollateral Overlap in U.S. CLOs 436\u003c\/p\u003e \u003cp\u003eFavorite CLO Credits 437\u003c\/p\u003e \u003cp\u003eCollateral Overlap in U.S. Structured Finance CDOs 439\u003c\/p\u003e \u003cp\u003eSingle-Name Risk and Tranche Protections 441\u003c\/p\u003e \u003cp\u003eExcess Overcollateralization and Excess Overcollateralization Delta 443\u003c\/p\u003e \u003cp\u003eMonte Carlo Simulation of Single Credit Risk 446\u003c\/p\u003e \u003cp\u003eComparing the Two Approaches 449\u003c\/p\u003e \u003cp\u003eConclusion 450\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 24 CDO Rating Experience 453\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCDO Rating Downgrade Data 454\u003c\/p\u003e \u003cp\u003eCDO and Tranche Rating Downgrade Frequency 456\u003c\/p\u003e \u003cp\u003eCDO Downgrade Patterns 458\u003c\/p\u003e \u003cp\u003eWhy Downgrade Patterns? 460\u003c\/p\u003e \u003cp\u003eDowngrade Severity 462\u003c\/p\u003e \u003cp\u003eDowngrades of Aaa CDO Tranches 464\u003c\/p\u003e \u003cp\u003eExtreme Rating Downgrades 464\u003c\/p\u003e \u003cp\u003eCDO Defaults and Near Defaults 469\u003c\/p\u003e \u003cp\u003eConclusion 473\u003c\/p\u003e \u003cp\u003eIndex 477\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":48864651313495,"sku":"9780471718871","price":39.38,"currency_code":"GBP","in_stock":false}],"url":"https:\/\/bookcurl.com\/products\/collateralized-debt-obligations-structures-and-analysis-frank-j-fabozzi-series-9780471718871","provider":"Book Curl","version":"1.0","type":"link"}