Collateralised Debt Obligations

  • Moorad Choudhry
  • Didier Joannas
  • Richard Pereira
  • Rod Pienaar
Part of the Finance and Capital Markets Series book series (FCMS)


Collateralised debt obligations (CDOs) are a form of securitised debt. The market in such bonds emerged in the United States in the late 1980s, first as a form of repackaged high-yield bonds. The market experienced sharp growth in the second half of the 1990s, due to a combination of investor demand for higher yields allied to credit protection, and the varying requirements of originators, such as balance sheet management and lower-cost funding.


Cash Flow Balance Sheet Credit Risk Credit Default Swap Credit Derivative 
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Selected Bibliography and References

  1. Anson, M. Credit Derivatives, FJF Associates, 1999, chapter 3.Google Scholar
  2. Boggiano, K., Waterson, K. and Stein, C. ‘Four forms of synthetic CDOs’, Derivatives Week, 11, 23, 10 June 2002.Google Scholar
  3. Braddock, J. Derivatives Demystified: Using Structured Finance Products, Wiley, 1997.Google Scholar
  4. Choudhry, M. ‘Some issues in the asset-swap pricing of credit default swaps’, Derivatives Week, 2 December 2001.Google Scholar
  5. Choudhry, M. ‘Trading credit spreads: the case for a specialised exchange-traded credit futures contract’, Journal of Derivatives Use, Trading and Regulation, 8, 1, June 2002.Google Scholar
  6. Das, S. Credit Derivatives and Credit-Linked Notes, 2nd edn, Wiley, 2000.Google Scholar
  7. Das, S. Structured Products and Hybrid Securities, Wiley, 2001, chapter 12.Google Scholar
  8. Fabozzi, F. Handbook of Structured Financial Products, FJF Associates, 1998.Google Scholar
  9. Fabozzi, F. and Goodman, L. (eds), Investing in Collateralised Debt Obligations, FJF Associates, 2001.Google Scholar
  10. ING Barings, International Asset Securitisation, 1999.Google Scholar
  11. Kasapi, A. Mastering Credit Derivatives, FT Prentice Hall, 1999.Google Scholar
  12. Mattoo, M. Structured Derivatives, Pitman, 1996.Google Scholar
  13. Norton Rose, Collateralised Debt Obligations, 2000.Google Scholar
  14. Peng, S. and Dattatreya, R. The Structured Note Market, Pitman, 1994.Google Scholar

Copyright information

© Moorad Choudhry, Didier Joannas, Richard Pereira and Rod Pienaar 2005

Authors and Affiliations

  • Moorad Choudhry
    • 1
  • Didier Joannas
    • 2
  • Richard Pereira
    • 3
  • Rod Pienaar
    • 4
  1. 1.KBC Financial ProductsUK
  2. 2.Hong KongChina
  3. 3.Nomura plcUK
  4. 4.UBS AGUK

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