A collection of articles from various professionals, discussing the details of investing in asset-backed securities. Main topics under discussion include non-real estate backed ABS, collateralized debt obligations, residential real-estate backed ABS, accounting, commercial mortgage backed securities, and analysis of ABS.
Book Details:
- Author: Frank J. Fabozzi
- ISBN: 9780470334423
- Year Published: 2000
- Pages: 546
- BISAC: BUS036000, BUSINESS & ECONOMICS/Investments & Securities / General
About the Book and Topic:
A collection of articles from various professionals, discussing the details of investing in asset-backed securities. Main topics under discussion include non-real estate backed ABS, collateralized debt obligations, residential real-estate backed ABS, accounting, commercial mortgage backed securities, and analysis of ABS.
1. Introduction to Collateralized Debt Obligations (Charles Schorin and Steven Weinreich) 2. Structural Features of Market Value CDOs (Luigi Vacca) 3. Rating Agency Methodologies (Meredith Hill and Luigi Vacca) 4. CDO Structure and Arbitrage (Laurie Goodman) 5. Emerging Market CBOs (Laurie Goodman) 6. Mortgage Cash Flow CBOs (Laurie Goodman) 7. CDOs Backed by ABS and Commercial Real Estate (R. Russell Hurst) 8. Synthetic CDOs (Laurie Goodman) 9. Cash and Synthetic European Bank CLOs (Alexsander Batchvarov, Ganesh Rajendra, William Ross, and Xavier De Pauw) 10. Analyzing Mezzanine Tranches of CBOs (Laurie Goodman) 11. Relative Value Framework for Collateralized Debt Obligations (Charles Schorin and Steven Weinreich) 12. Pricing Market Value Debt and Equity (Luigi Vacca) 13. Use of Credit Derivatives in CBO/ CLO Structures (Meredith Hill and Luigi Vacca)
About the Author
Frank J. Fabozzi is editor of the Journal of Portfolio Management and an Adjunct Professor of Finance at Yale University’s School of Management. Frank is a Chartered Financial Analyst and Certified Public Accountant. He is on the board of directors of the Guardian Life family of funds and the BlackRock complex of funds. He earned a doctorate of economics from the City University of New York in 1972 and in 1994 received an honorary doctorate of Human Letters from Nova Southeastern University. Frank is a Fellow of the International Center for Finance at Yale University.