Michael Crouhy, et al., The Essentials of Risk Management, Chapter 12: The Credit Transfer Markets—and Their Implications is a 55 minute instructional video analyzing the following concepts:
* Discuss the flaws in the securitization of subprime mortgages prior to the financial crisis of 2007.
* Identify and explain the different techniques used to mitigate credit risk, and describe how some of these techniques are changing the bank credit function.
* Describe the originate-to-distribute model of credit risk transfer and discuss the two ways of managing a bank credit portfolio.
* Describe the different types and structures of credit derivatives including credit default swap (CDS), first-to-default put, total return swaps (TRS), asset-backed credit-linked note (CLN), and their applications.
* Explain the credit risk securitization process and describe the structure of typical collateralized loan obligations (CLOs) or collateralized debt obligations (CDOs).
* Describe synthetic CDOs and single-tranche CDOs.
* Assess the rating of CDOs by rating agencies prior to the 2007 financial crisis.