Goodman L., Fabozzi F. Collateralized Debt Obligations: Structures and Analysis

Hoboken, New Jersey: John Wiley & Sons, Inc., 2002. — 386 p. — ISBN: 0471234869.Cash Flow CDOs.
Hiah-Yield Default Rates and Their Application to CDO Analysis.
Review of Structured Finance Collateral.
Structured Finance Cash Flow CDOs.
Emerging Market CDOs.
Market Value CDOs.
Synthetic Balance Sheet CDOs.
Synthetic Arbitrage CDOs.
Considerations in Creating CDOs and Their Investment Implications.
Participating Coupon Notes.
Relative Value Methodology for Analyzing Mezzanine Tranches.
Analyzing CDO Equity Tranches.
Payment-in-Kind CDO Tranches.
Secondary Market Trading Opportunities and Managing a Portfolio of CDOs.