Collateralized debt obligations: structures and analysis
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Hoboken, NJ [u.a.]
Wiley
2006
|
| Ausgabe: | 2. ed., fully rev. and up-to-date, reprint |
| Schriftenreihe: | The Frank J. Fabozzi series
Wiley finance |
| Schlagworte: | |
| Online-Zugang: | Publisher description Klappentext Inhaltsverzeichnis |
| Beschreibung: | Früher u.d.T.: Goodman, Laurie S.: Collateralized debt obligations |
| Beschreibung: | XXII, 505 Seiten Diagramme |
| ISBN: | 0471718874 9780471718871 |
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Datensatz im Suchindex
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| adam_text | Collateralized Debt Obligations
SECOND EDITION
Since the publication of the first edition of
Collateralized
Debt Obligations, the CDO market has seen
tremendous growth. In fact, as of
2005, $1.1
trillion of CDOs were outstanding—making them the fastest-
growing investment vehicle of the last decade.
To help you keep up with the expanding CDO market and its various instruments, Douglas Lucas, Laurie
Goodman, and Frank Fabozzi have collaborated to bring you a fully revised and up-to-date Second Edition
of Collateralized Debt Obligations. Written in a clear and accessible style, this book is a valuable guide that
provides you with critical information regarding the evolving nature of the CDO market.
Filled with in-depth insights gleaned from years of investment and credit experience, Collateralized Debt
Obligations, Second Edition examines a wide range of issues, including:
•
Cash CDOs
·
Default correlation
•
Loans and CLOs
·
CDO equity
•
Structured finance CDOs and collateral review
·
CDO arbitrage
•
Emerging market and market value CDOs
·
And much more
•
Synthetic CDOs
CDOs offer exciting opportunities for those who understand their complexities. With Collateralized Debt
Obligations, Second Edition as your guide, you can begin to understand and take advantage of this dynamic
market and its products.
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 Investors 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 Alt-American Fixed Income Team than any other analyst.
FRANK J. FABOZZI, PhD,
CFA,
СРА,
îs
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 ¡s the
Editor of the Journal of Portfolio Management.
PREFACE X M ABOUT THE AUTHORS XX , INTRODUCTION TO CASH CDOS 1 CHAPTER 1
CASH CDO BASICS 3 WHY STUDY CDOS? 3 UNDERSTANDING CDOS 4 CREDIT
STRUCTURES IQ A CDO STRUCTURAL MATRIX 13 CDOS BEING OFFERED TODAY 14
PARTIES TO A CDO 14 CHAPTER 2 CASH FLOW COOS 17 DISTRIBUTION OF CASH
FLOWS 17 RESTRICTIONS ON MANAGEMENT: SAFETY NETS 20 CREDIT RATINGS 23
CALL PROVISIONS IN CDO TRANSACTIONS 3G LOANS AND CLOS 41 CHAPTER 3
HIGH-YIELD LOANS: STRUCTURE AND PERFORMANCE 43 THE LOAN MARKET 44 THE
SYNDICATION PROCESS 46 LOAN STRUCTURE AND LEADERS 4G LOAN INTEREST RATES
AND UPFRONT FEES 49 VLL CONTENTS LOAN CREDIT QUALITY 51 LENDER S
LIABILITY -52 OVERVIEW OF LOAN TERMS 53 LOAN TERMS VERSUS BOND TERMS 58
A TALE OF TWO LOANS 58 THE SECONDARY MARKET 60 LOAN RECOVERY RATES 61
LOAN DEFAULT RATES 63 HIGH-YIELD LOAN CLO VERSUS HIGH-YIELD BOND CBO
PERFORMANCE 67 CONCLUSION 74 CHAPTER 4 EUROPEAN BANK LOANS AND MIDDLE
MARKET LOANS 75 EUROPEAN BANK LOANS 75 MIDDLE MARKET LOANS 91 CONCLUSION
99 PART THREE STRUCTURED FINANCE CDOS AND COLLATERAL REVIEW 101 CHAPTER
5 REVIEW OF STRUCTURED FINANCE COLLATERAL: MORTGAGE-RELATED PRODUCTS 103
RESIDENTIAL MORTGAGE-BACKED SECURITIES 103 COMMERCIAL MORTGAGE-BACKED
SECURITIES 125 REAL ESTATE INVESTMENT TRUST DEBT 129 CHAPTER 6 REVIEW OF
STRUCTURED FINANCE COLLATERAL: NONMORTGAGE ABS 135 CREDIT CARD
RECEIVABLE-BACKED SECURITIES 135 AUTO LOAN-BACKED SECURITIES 137 STUDENT
LOAN-BACKED SECURITIES 139 SB A LOAN-BACKED SECURITIES 141 AIRCRAFT
LEASE-BACKED SECURITIES 142 FRANCHISE LOAN-BACKED SECURITIES 145 RATE
REDUCTION BONDS 148 CHAPTER 7 STRUCTURED FINANCE DEFAULT AND RECOVERY
RATES 153 STRUCTURED FINANCE VERSUS CORPORATE DEFAULT RATES 154 S&P
RATING TRANSITION STUDIES AND THE MATRIX MULTIPLYING APPROACH 156
RESULTS OF MULTIPLYING S&P RATING TRANSITION MATRICES 158 S&P ON
STRUCTURED FINANCE LOSS GIVEN DEFAULT 159 S&P CONSTANT ANNUAL DEFAULT
AND RECOVERIES 159 MOODY S MATERIAL IMPAIRMENT STUDY 160 CONTENTS |X
COMPARING AND RECONCILING STRUCTURED FINANCE DEFAULT RATES 162 MOODY S
ON STRUCTURED FINANCE HISTORICAL LOSS RATES 164 MOODY S CONSTANT ANNUAL
DEFAULT AND RECOVERIES 166 BLENDING S8TP AND MOODY S STUDIES 167
APPLYING CDRS AND RECOVERIES TO SF CDOS 167 CONCLUSION 170 CHAPTER 8
STRUCTURED FINANCE CASH FLOW CDOS 171 SF CDOS VERSUS HIGH-YIELD CDOS 172
RATING AGENCIES ON STRUCTURED FINANCE CDOS 174 STRUCTURED FINANCE
ASSETS NEGATIVE CONVEXITY 182 EXTENSION RISK 183 CONCLUSION 185
.PARTFOUR, , ,, . ,. . .,.., ,.,,.,,, , _^__,.,.,., . ,,.. OTHER TYPES
OF CASH CDOS 187 CHAPTER 9 EMERGING MARKET CDOS 189 EM SOVEREIGN BOND
DEFAULTS 190 WHY THE BETTER TRACK RECORD? 192 CDO RATING DIFFERENCES: EM
VERSUS HIGH YIELD 193 CONCLUSION 198 CHAPTER 10 MARKET VALUE CDOS 201
CASH FLOW VERSUS MARKET VALUE DEALS 201 THE RATING PROCESS 202 HOW
ADVANCE RATES ARE DERIVED 212 CONCLUSION 215 FART FIVE SYNTHETIC CDOS
217 CHAPTER 11 INTRODUCTION TO CREDIT DEFAULT SWAPS AND SYNTHETIC CDOS
219 CREDIT DEFAULT SWAPS 219 SYNTHETIC CDOS 229 CONCLUSION 239 CONTENTS
CHAPTER 12 SYNTHETIC BALANCE SHEET CDOS 241 CASH CLOS FOR BALANCE SHEET
MANAGEMENT 241 PARTIALLY FUNDED SYNTHETIC CDOS 249 CONCLUSION 253
CHAPTER 13 SYNTHETIC ARBITRAGE CDOS 255 FULL CAPITAL STRUCTURE SYNTHETIC
ARBITRAGE CDOS 256 SINGLE-TRANCHE CDOS 260 STANDARD TRANCHES OF CDS
INDICES 261 CONCLUSION 262 CHAPTER 14 A FRAMEWORK FOR EVALUATING TRADES
IN THE CREDIT DERIVATIVES MARKET 265 ASSESSING SINGLE-NAME AND CDO
TRANCHED EXPOSURES 266 ASSESSING CDO EQUITY VERSUS A BASKET SWAP 274
CONCLUSION 280 CHAPTER 15 STRUCTURED FINANCE CREDIT DEFAULT SWAPS AND
SYNTHETIC CDOS 281 DIFFERENCES BETWEEN CORPORATE AND STRUCTURED FINANCE
CREDIT 282 DIFFICULTIES IN SF CDS 284 SF CDS EFFECT ON SF CDO MANAGEMENT
294 TWO NEW TYPES OF SF CDOS 295 EFFECTS OF SF CDS ON CDO CREDIT QUALITY
AND SPREADS 296 CONCLUSION 297 ; **:,-..*/* .. ..*:*:*.:**: X . *»*: *
DEFAULT CORRELATION 299 CHAPTER 16 DEFAULT CORRELATION: THE BASICS 301
DEFAULT CORRELATION DEFINED 301 DEFAULT PROBABILITY AND DEFAULT
CORRELATION 305 CONCLUSION 321 CHAPTER 17 EMPIRICAL DEFAULT
CORRELATIONS: PROBLEMS AND SOLUTIONS 323 EMPIRICAL RESULTS 323 PROBLEMS
WITH HISTORICAL DEFAULT CORRELATIONS 327 PROPOSED SOLUTIONS 330
CONCLUSION 344 CONTENTS XL PARTSEIH CDO EQUITY 345 CHAPTER 18 WHY BUY
CDO EQUITY? 347 NONRECOURSE TERM FINANCING 347 THE FORGIVING NATURE OF
CDO FINANCING 354 CDO OPTIONS 356 CDO EQUITY AS A DEFENSIVE STRATEGY 359
CONCLUSION 360 CHAPTER 19 CDO EQUITY RETURNS AND RETURN CORRELATION 361
FLAWED METHODOLOGIES 362 THE APPROPRIATE LESSON FROM HISTORY 365 LOAN
DEFAULTS AND RECOVERIES 367 CASH FLOW MODELING DEFAULTS AND RECOVERIES
370 STRUCTURED FINANCE DEFAULTS AND RECOVERIES 371 SF CDO CASH FLOW
MODELING 372 RETURN CORRELATION AND NONRECOURSE LEVERAGE 374 CONCLUSION
378 OTHER CDO TOPICS 379 CHAPTER 20 ANALYTICAL CHALLENGES IN SECONDARY
CDO MARKET HADING 381 IMPORTANT DEVELOPMENTS: SPREAD TIGHTENING,
INCREASED ACTIVITY 382 PITFALLS IN SECONDARY CDO TRADING 384 EIGHT-POINT
CHECKLIST IN EVALUATING A CDO IN THE SECONDARY MARKET 387 PRESCRIPTION
FOR MAKING PRIMARY ISSUANCES CONDUCIVE TO SECONDARY TRADING 408
CONCLUSION 409 CHAPTER 21 THE CDO ARBITRAGE 411 BUILDING BLOCKS 411
IMPACT OF CDO ARBITRAGE ON STRUCTURE 422 CONCLUSION 425 XL CONTENTS
CHAPTER 22 HOW TO EVALUATE A CDO AND MANAGE A CDO PORTFOLIO 427
INCENTIVE CLASHES IN CDO STRUCTURES 427 EVALUATE STRUCTURAL ENHANCEMENTS
428 EVALUATING THE MANAGER S TRACK RECORD 429 CONCLUSION 434 CHAPTER 23
QUANTIFYING SINGLE-NAME RISK ACROSS CDOS 435 COLLATERAL OVERLAP IN U.S.
CLOS 436 FAVORITE CLO CREDITS 437 COLLATERAL OVERLAP IN U.S. STRUCTURED
FINANCE CDOS 439 SINGLE-NAME RISK AND TRANCHE PROTECTIONS 441 EXCESS
OVERCOLLATERALIZATION AND EXCESS OVERCOLLATERALIZATION DELTA 443 MONTE
CARLO SIMULATION OF SINGLE CREDIT RISK 446 COMPARING THE TWO APPROACHES
449 CONCLUSION 450 CHAPTER 24 CDO RATING EXPERIENCE 453 CDO RATING
DOWNGRADE DATA 454 CDO AND TRANCHE RATING DOWNGRADE FREQUENCY 456 CDO
DOWNGRADE PATTERNS 458 WHY DOWNGRADE PATTERNS? 460 DOWNGRADE SEVERITY
462 DOWNGRADES OF AAA CDO TRANCHES 464 EXTREME RATING DOWNGRADES 464 CDO
DEFAULTS AND NEAR DEFAULTS 469 CONCLUSION 473 INDEX 477
|
| adam_txt |
Collateralized Debt Obligations
SECOND EDITION
Since the publication of the first edition of
Collateralized
Debt Obligations, the CDO market has seen
tremendous growth. In fact, as of
2005, $1.1
trillion of CDOs were outstanding—making them the fastest-
growing investment vehicle of the last decade.
To help you keep up with the expanding CDO market and its various instruments, Douglas Lucas, Laurie
Goodman, and Frank Fabozzi have collaborated to bring you a fully revised and up-to-date Second Edition
of Collateralized Debt Obligations. Written in a clear and accessible style, this book is a valuable guide that
provides you with critical information regarding the evolving nature of the CDO market.
Filled with in-depth insights gleaned from years of investment and credit experience, Collateralized Debt
Obligations, Second Edition examines a wide range of issues, including:
•
Cash CDOs
·
Default correlation
•
Loans and CLOs
·
CDO equity
•
Structured finance CDOs and collateral review
·
CDO arbitrage
•
Emerging market and market value CDOs
·
And much more
•
Synthetic CDOs
CDOs offer exciting opportunities for those who understand their complexities. With Collateralized Debt
Obligations, Second Edition as your guide, you can begin to understand and take advantage of this dynamic
market and its products.
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 Investors 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 Alt-American Fixed Income Team than any other analyst.
FRANK J. FABOZZI, PhD,
CFA,
СРА,
îs
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 ¡s the
Editor of the Journal of Portfolio Management.
PREFACE X M ABOUT THE AUTHORS XX , INTRODUCTION TO CASH CDOS 1 CHAPTER 1
CASH CDO BASICS 3 WHY STUDY CDOS? 3 UNDERSTANDING CDOS 4 CREDIT
STRUCTURES IQ A CDO STRUCTURAL MATRIX 13 CDOS BEING OFFERED TODAY 14
PARTIES TO A CDO 14 CHAPTER 2 CASH FLOW COOS 17 DISTRIBUTION OF CASH
FLOWS 17 RESTRICTIONS ON MANAGEMENT: SAFETY NETS 20 CREDIT RATINGS 23
CALL PROVISIONS IN CDO TRANSACTIONS 3G LOANS AND CLOS 41 CHAPTER 3
HIGH-YIELD LOANS: STRUCTURE AND PERFORMANCE 43 THE LOAN MARKET 44 THE
SYNDICATION PROCESS 46 LOAN STRUCTURE AND LEADERS 4G LOAN INTEREST RATES
AND UPFRONT FEES 49 VLL CONTENTS LOAN CREDIT QUALITY 51 LENDER'S
LIABILITY -52 OVERVIEW OF LOAN TERMS 53 LOAN TERMS VERSUS BOND TERMS 58
A TALE OF TWO LOANS 58 THE SECONDARY MARKET 60 LOAN RECOVERY RATES 61
LOAN DEFAULT RATES 63 HIGH-YIELD LOAN CLO VERSUS HIGH-YIELD BOND CBO
PERFORMANCE 67 CONCLUSION 74 CHAPTER 4 EUROPEAN BANK LOANS AND MIDDLE
MARKET LOANS 75 EUROPEAN BANK LOANS 75 MIDDLE MARKET LOANS 91 CONCLUSION
99 PART THREE STRUCTURED FINANCE CDOS AND COLLATERAL REVIEW 101 CHAPTER
5 REVIEW OF STRUCTURED FINANCE COLLATERAL: MORTGAGE-RELATED PRODUCTS 103
RESIDENTIAL MORTGAGE-BACKED SECURITIES 103 COMMERCIAL MORTGAGE-BACKED
SECURITIES 125 REAL ESTATE INVESTMENT TRUST DEBT 129 CHAPTER 6 REVIEW OF
STRUCTURED FINANCE COLLATERAL: NONMORTGAGE ABS 135 CREDIT CARD
RECEIVABLE-BACKED SECURITIES 135 AUTO LOAN-BACKED SECURITIES 137 STUDENT
LOAN-BACKED SECURITIES 139 SB A LOAN-BACKED SECURITIES 141 AIRCRAFT
LEASE-BACKED SECURITIES 142 FRANCHISE LOAN-BACKED SECURITIES 145 RATE
REDUCTION BONDS 148 CHAPTER 7 STRUCTURED FINANCE DEFAULT AND RECOVERY
RATES 153 STRUCTURED FINANCE VERSUS CORPORATE DEFAULT RATES 154 S&P
RATING TRANSITION STUDIES AND THE MATRIX MULTIPLYING APPROACH 156
RESULTS OF MULTIPLYING S&P RATING TRANSITION MATRICES 158 S&P ON
STRUCTURED FINANCE LOSS GIVEN DEFAULT 159 S&P CONSTANT ANNUAL DEFAULT
AND RECOVERIES 159 MOODY'S MATERIAL IMPAIRMENT STUDY 160 CONTENTS |X
COMPARING AND RECONCILING STRUCTURED FINANCE DEFAULT RATES 162 MOODY'S
ON STRUCTURED FINANCE HISTORICAL LOSS RATES 164 MOODY'S CONSTANT ANNUAL
DEFAULT AND RECOVERIES 166 BLENDING S8TP AND MOODY'S STUDIES 167
APPLYING CDRS AND RECOVERIES TO SF CDOS 167 CONCLUSION 170 CHAPTER 8
STRUCTURED FINANCE CASH FLOW CDOS 171 SF CDOS VERSUS HIGH-YIELD CDOS 172
RATING AGENCIES ON STRUCTURED FINANCE CDOS 174 STRUCTURED FINANCE
ASSETS' NEGATIVE CONVEXITY 182 EXTENSION RISK 183 CONCLUSION 185
.PARTFOUR, , ,, . ,. . .,., ,.,,.,,, , _^_,.,.,., . ,,. OTHER TYPES
OF CASH CDOS 187 CHAPTER 9 EMERGING MARKET CDOS 189 EM SOVEREIGN BOND
DEFAULTS 190 WHY THE BETTER TRACK RECORD? 192 CDO RATING DIFFERENCES: EM
VERSUS HIGH YIELD 193 CONCLUSION 198 CHAPTER 10 MARKET VALUE CDOS 201
CASH FLOW VERSUS MARKET VALUE DEALS 201 THE RATING PROCESS 202 HOW
ADVANCE RATES ARE DERIVED 212 CONCLUSION 215 FART FIVE SYNTHETIC CDOS
217 CHAPTER 11 INTRODUCTION TO CREDIT DEFAULT SWAPS AND SYNTHETIC CDOS
219 CREDIT DEFAULT SWAPS 219 SYNTHETIC CDOS 229 CONCLUSION 239 CONTENTS
CHAPTER 12 SYNTHETIC BALANCE SHEET CDOS 241 CASH CLOS FOR BALANCE SHEET
MANAGEMENT 241 PARTIALLY FUNDED SYNTHETIC CDOS 249 CONCLUSION 253
CHAPTER 13 SYNTHETIC ARBITRAGE CDOS 255 FULL CAPITAL STRUCTURE SYNTHETIC
ARBITRAGE CDOS 256 SINGLE-TRANCHE CDOS 260 STANDARD TRANCHES OF CDS
INDICES 261 CONCLUSION 262 CHAPTER 14 A FRAMEWORK FOR EVALUATING TRADES
IN THE CREDIT DERIVATIVES MARKET 265 ASSESSING SINGLE-NAME AND CDO
TRANCHED EXPOSURES 266 ASSESSING CDO EQUITY VERSUS A BASKET SWAP 274
CONCLUSION 280 CHAPTER 15 STRUCTURED FINANCE CREDIT DEFAULT SWAPS AND
SYNTHETIC CDOS 281 DIFFERENCES BETWEEN CORPORATE AND STRUCTURED FINANCE
CREDIT 282 DIFFICULTIES IN SF CDS 284 SF CDS EFFECT ON SF CDO MANAGEMENT
294 TWO NEW TYPES OF SF CDOS 295 EFFECTS OF SF CDS ON CDO CREDIT QUALITY
AND SPREADS 296 CONCLUSION 297 ; **:,-.*/*'. .*:*:*.:**: \ X . *»*: *
DEFAULT CORRELATION 299 CHAPTER 16 DEFAULT CORRELATION: THE BASICS 301
DEFAULT CORRELATION DEFINED 301 DEFAULT PROBABILITY AND DEFAULT
CORRELATION 305 CONCLUSION 321 CHAPTER 17 EMPIRICAL DEFAULT
CORRELATIONS: PROBLEMS AND SOLUTIONS 323 EMPIRICAL RESULTS 323 PROBLEMS
WITH HISTORICAL DEFAULT CORRELATIONS 327 PROPOSED SOLUTIONS 330
CONCLUSION 344 CONTENTS XL PARTSEIH CDO EQUITY 345 CHAPTER 18 WHY BUY
CDO EQUITY? 347 NONRECOURSE TERM FINANCING 347 THE FORGIVING NATURE OF
CDO FINANCING 354 CDO OPTIONS 356 CDO EQUITY AS A DEFENSIVE STRATEGY 359
CONCLUSION 360 CHAPTER 19 CDO EQUITY RETURNS AND RETURN CORRELATION 361
FLAWED METHODOLOGIES 362 THE APPROPRIATE LESSON FROM HISTORY 365 LOAN
DEFAULTS AND RECOVERIES 367 CASH FLOW MODELING DEFAULTS AND RECOVERIES
370 STRUCTURED FINANCE DEFAULTS AND RECOVERIES 371 SF CDO CASH FLOW
MODELING 372 RETURN CORRELATION AND NONRECOURSE LEVERAGE 374 CONCLUSION
378 OTHER CDO TOPICS 379 CHAPTER 20 ANALYTICAL CHALLENGES IN SECONDARY
CDO MARKET HADING 381 IMPORTANT DEVELOPMENTS: SPREAD TIGHTENING,
INCREASED ACTIVITY 382 PITFALLS IN SECONDARY CDO TRADING 384 EIGHT-POINT
CHECKLIST IN EVALUATING A CDO IN THE SECONDARY MARKET 387 PRESCRIPTION
FOR MAKING PRIMARY ISSUANCES CONDUCIVE TO SECONDARY TRADING 408
CONCLUSION 409 CHAPTER 21 THE CDO ARBITRAGE 411 BUILDING BLOCKS 411
IMPACT OF CDO ARBITRAGE ON STRUCTURE 422 CONCLUSION 425 XL CONTENTS
CHAPTER 22 HOW TO EVALUATE A CDO AND MANAGE A CDO PORTFOLIO 427
INCENTIVE CLASHES IN CDO STRUCTURES 427 EVALUATE STRUCTURAL ENHANCEMENTS
428 EVALUATING THE MANAGER'S TRACK RECORD 429 CONCLUSION 434 CHAPTER 23
QUANTIFYING SINGLE-NAME RISK ACROSS CDOS 435 COLLATERAL OVERLAP IN U.S.
CLOS 436 FAVORITE CLO CREDITS 437 COLLATERAL OVERLAP IN U.S. STRUCTURED
FINANCE CDOS 439 SINGLE-NAME RISK AND TRANCHE PROTECTIONS 441 EXCESS
OVERCOLLATERALIZATION AND EXCESS OVERCOLLATERALIZATION DELTA 443 MONTE
CARLO SIMULATION OF SINGLE CREDIT RISK 446 COMPARING THE TWO APPROACHES
449 CONCLUSION 450 CHAPTER 24 CDO RATING EXPERIENCE 453 CDO RATING
DOWNGRADE DATA 454 CDO AND TRANCHE RATING DOWNGRADE FREQUENCY 456 CDO
DOWNGRADE PATTERNS 458 WHY DOWNGRADE PATTERNS? 460 DOWNGRADE SEVERITY
462 DOWNGRADES OF AAA CDO TRANCHES 464 EXTREME RATING DOWNGRADES 464 CDO
DEFAULTS AND NEAR DEFAULTS 469 CONCLUSION 473 INDEX 477 |
| any_adam_object | 1 |
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| author | Lucas, Douglas J. Goodman, Laurie Sharon Fabozzi, Frank J. 1948- |
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| edition | 2. ed., fully rev. and up-to-date, reprint |
| format | Book |
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| id | DE-604.BV023097798 |
| illustrated | Not Illustrated |
| index_date | 2024-07-02T19:43:37Z |
| indexdate | 2024-07-09T21:10:57Z |
| institution | BVB |
| isbn | 0471718874 9780471718871 |
| language | English |
| lccn | 2006280065 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016300570 |
| oclc_num | 62891540 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR DE-N2 DE-19 DE-BY-UBM DE-945 |
| owner_facet | DE-355 DE-BY-UBR DE-N2 DE-19 DE-BY-UBM DE-945 |
| physical | XXII, 505 Seiten Diagramme |
| publishDate | 2006 |
| publishDateSearch | 2006 |
| publishDateSort | 2006 |
| publisher | Wiley |
| record_format | marc |
| series2 | The Frank J. Fabozzi series Wiley finance |
| spelling | Lucas, Douglas J. Verfasser (DE-588)171059174 aut Collateralized debt obligations structures and analysis Douglas J. Lucas ; Laurie S. Goodman ; Frank J. Fabozzi Debt obligations 2. ed., fully rev. and up-to-date, reprint Hoboken, NJ [u.a.] Wiley 2006 XXII, 505 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier The Frank J. Fabozzi series Wiley finance Früher u.d.T.: Goodman, Laurie S.: Collateralized debt obligations Schuldverschreibung (DE-588)4180132-5 gnd rswk-swf Collateralized debt obligation (DE-588)7548936-3 gnd rswk-swf Collateralized debt obligation (DE-588)7548936-3 s Schuldverschreibung (DE-588)4180132-5 s DE-604 Goodman, Laurie Sharon Verfasser (DE-588)170013391 aut Fabozzi, Frank J. 1948- Verfasser (DE-588)129772054 aut Erscheint auch als Online-Ausgabe 978-1-119-20131-1 (DE-604)BV043385351 http://www.loc.gov/catdir/enhancements/fy0644/2006280065-d.html Publisher description Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016300570&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Klappentext SWBplus Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016300570&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Lucas, Douglas J. Goodman, Laurie Sharon Fabozzi, Frank J. 1948- Collateralized debt obligations structures and analysis Schuldverschreibung (DE-588)4180132-5 gnd Collateralized debt obligation (DE-588)7548936-3 gnd |
| subject_GND | (DE-588)4180132-5 (DE-588)7548936-3 |
| title | Collateralized debt obligations structures and analysis |
| title_alt | Debt obligations |
| title_auth | Collateralized debt obligations structures and analysis |
| title_exact_search | Collateralized debt obligations structures and analysis |
| title_exact_search_txtP | Collateralized debt obligations structures and analysis |
| title_full | Collateralized debt obligations structures and analysis Douglas J. Lucas ; Laurie S. Goodman ; Frank J. Fabozzi |
| title_fullStr | Collateralized debt obligations structures and analysis Douglas J. Lucas ; Laurie S. Goodman ; Frank J. Fabozzi |
| title_full_unstemmed | Collateralized debt obligations structures and analysis Douglas J. Lucas ; Laurie S. Goodman ; Frank J. Fabozzi |
| title_short | Collateralized debt obligations |
| title_sort | collateralized debt obligations structures and analysis |
| title_sub | structures and analysis |
| topic | Schuldverschreibung (DE-588)4180132-5 gnd Collateralized debt obligation (DE-588)7548936-3 gnd |
| topic_facet | Schuldverschreibung Collateralized debt obligation |
| url | http://www.loc.gov/catdir/enhancements/fy0644/2006280065-d.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016300570&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016300570&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
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