In the summer of 2007, liquidity, credit and market risk posed a significant threat to the CLO market. CLOs held up relatively well during the crisis, however, the losses that did occur, were caused almost entirely by investors not having access to term funding.
Key learning objectives:
Identify how CLOs performed, and the impact this had on various counterparties
Discuss the role of rating agencies during this time
Explain the overall impact liquidity had on the CLO market
The Basel Committee Perspective on Operational Risk
Peter Eisenhardt • 18:32