Managing Market and Liquidity Risk in the CLO Context

Managing Market and Liquidity Risk in the CLO Context

In this video, Ian will discuss how to assess the risks of a bond and its value as it changes over time and he will focus more on aspects of market risk and liquidity risk.
Overview

The market risk process consists of assessing duration and YTM changes, and how it is likely to impact mark-to-market volatility. Secondly, whether there is an instrument or practice that will allow us to hedge, or otherwise, manage that volatility. Lastly, assess the liquidity risks, in particular economic conditions or poor transaction performance.

Key learning objectives:

  • Identify the market risks relating to duration, MTM and liquidity

  • Explain the ways to hedge against these risks

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Summary
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Expert
Ian Robinson

Ian Robinson

Ian started work in the securitisation market in the late 1990’s after finishing his PhD in Law. He split his time in the market between structuring transactions and investing in them. Ian now works as a consultant, advising Financial Institutions and Government bodies on all aspects of structuring, trading and the structured credit markets.

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