August 2008
Beginner
852 pages
46h 4m
English
Content preview from Handbook of Finance: Financial Markets and InstrumentsBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.
Chapter 38. Collateralized Debt Obligations
DOUGLAS J. LUCAS
Executive Director and Head of CDO Research, UBS
LAURIE S. GOODMAN, PhD
Co-head of Global Fixed Income Research Manager of U.S. Securitized Products Research, UBS
FRANK J. FABOZZ1, PhD, CFA, CPA
Professor in the Practice of Finance, Yale School of Management
Abstract A collateralized debt obligation (CDO) is an asset-backed security backed by a diversified pool of one or more classes of debt (corporate loans, corporate bonds, emerging market bonds, asset-backed securities, residential mortgage-backed securities, commercial mortgage-backed, securities, and real estate investment trusts). The list of asset types included in a CDO portfolio is continually expanding. CDOs are categorized based on the motivation of the sponsor of the transaction: balance sheet, arbitrage, or origination. A synthetic CDO is so named because the CDO does not actually own the pool of assets on which it has the risk. Stated differently, a synthetic CDO absorbs the economic risks, but not the legal ownership, of its reference credit exposures. The nonsynthetic CDO is referred to as a "cash" structure. The building block for synthetic CDOs is a credit default swap, which allows the transfer of the economic risk of a pool of assets, but not the legal ownership, of underlying assets.
Keywords: collateralized debt obligations (CDOs), synthetic CDOs, arbitrage CDOs, balance sheet CDOs, origination CDOs, market value credit structures, cash flow credit structure, ...
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Read now
Unlock full access
More than 5,000 organizations count on O’Reilly
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.