Instructional Video: Malz, Chapter 9: Structured Credit Risk

Malz, Chapter 9: Structured Credit Risk is a 52 minute instructional video analyzing the following concepts:

* Describe common types of structured products.
* Describe tranching and the distribution of credit losses in a securitization.
* Describe a waterfall structure in a securitization.
* Identify the key participants in the securitization process, and describe conflicts of interest that can arise in the process.
* Compute and evaluate one or two iterations of interim cashflows in a three tiered securitization structure.
* Describe a simulation approach to calculating credit losses for different tranches in a securitization.
* Explain how the default probabilities and default correlations affect the credit risk in a securitization.
* Explain how default sensitivities for tranches are measured.
* Describe risk factors that impact structured products.
* Define implied correlation and describe how it can be measured.
* Identify the motivations for using structured credit products.

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