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CREDIT PORTFOLIO ENGINEERING COURSE
Additional RiskFrontier Training Course:
RiskFrontier Training - Client-Site Customized |
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Overview
This three-day course is designed to provide a quantitative understanding of Moody's KMV RiskFrontier™, and to explore the models on which it is built. The course covers many aspects of credit portfolio theory and the modeling of credit instruments in RiskFrontier. In addition, participants are guided through several detailed portfolio computations, including the Monte Carlo simulation and a pair-wise asset correlation. All of the major quantitative components of the Moody's KMV portfolio model are discussed, including lattice valuation methodologies used to analyze single-name credit exposures, the semi-analytic approach used to analyze structured instruments, risk and return measures, simulation, credit migration, correlation, recovery, and methods of improving portfolio performance. Case studies and model validation results are also presented. A moderate amount of mathematical sophistication is assumed.
Who Should Attend
The Credit Portfolio Engineering course is targeted for credit professionals who wish to gain a deep understanding of the Moody's KMV portfolio models. These professionals include portfolio managers, credit and risk managers, commercial bankers, investment bankers, asset managers, credit analysts, and other financial professionals whose work involves the use of credit portfolios. All Moody's KMV clients and prospective clients are welcome to attend. However, the course is geared to individuals who have a good understanding of calculus, statistics, and modern financial theory.
The course presentation and handout materials are subject to confidentiality and non-disclosure provisions contained in the subscription agreements with Moody's KMV. To participate in the course, all Moody's KMV clients and non-clients are required to sign a “Confidentiality Undertaking.”
Objectives
On completion of the seminar, participants will:
- Understand the modeling approaches used in RiskFrontier
- Understand how RiskFrontier prices and computes return for individual instruments, including structured products
- Understand how RiskFrontier computes stand-alone and marginal risk for individual instruments, structured products and portfolio standard deviation
- Understand the structure of the Moody's KMV global correlation model, as well as modeling of correlations of retail instruments
- Understand how RiskFrontier computes economic capital
- Understand how RiskFrontier allocates risk to individual instruments based on contribution to portfolio standard deviation and tail risk
- Be familiar with the location and functionality of key RiskFrontier features
- Understand how the open credit migration and correlation structure can be used to customize RiskFrontier
- Understand quantitative differences between RiskFrontier and Portfolio Manager™
- Understand how to use RiskFrontier to improve the performance of their portfolios
Topics
- Lattice structure used in valuation of single-name instruments
- Modeling options in loans and bonds
- Modeling dynamic usage for revolving lines of credit
- Modeling CDSs with counterparty risk
- Modeling equity positions
- Modeling structured instruments
- Measuring returns
- Portfolio standard deviation and tail risk
- Stand-alone instrument risk, contribution to tranche loss, and marginal contribution to portfolio risk
- Credit migration – MKMV’s Empirical Credit Migration Model, and the open migration framework
- Correlations – GCORR and retail correlations, and the open correlation framework
- Analyzing credit portfolios using Monte Carlo methods in RiskFrontier
- RiskFrontier features and functions
- Parameterizing RiskFrontier and utilizing results to improving portfolio performance
- Market evidence and model validation
If you have attended the Portfolio Engineering course in the past but are now using RiskFrontier, you are encouraged to attend this course to learn more about the system's calculations.
Materials
Participants will receive a training package with presentation material and reference documents for use during and after the seminar.
Registration Details
| Cost: |
US$9,500.00
US$6,500.00 (MKMV client rate)*
US$3,500.00 (Portfolio Manager™/Risk Frontier™ subscriber rate)
*Client refers to all subscribers of Moody's KMV products. |
To register online for this course, please click on the applicable date in the table below.
To register online for this course, please click on the applicable date in the table below.
| Date |
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Location |
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Venue |
| 21-23 April 2009 |
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London |
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Moody's KMV
12 Arthur Street
London EC4R 9AB
United Kingdom
+44 (0) 20 7280 8300 |
| Fall 2009 |
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New York |
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To Be Arranged
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