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Moody's KMV Product Training |
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Portfolio Manager Training |
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Contact Us |
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Kristina Wun
Phone:
+1 (415)874-6568 (Option 5)
Email:
training@MKMV.com
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Additional Portfolio Manager Training Course:
Portfolio Mananager Training - Client Site Customized
Credit Portfolio Engineering Course
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Overview
This two-day training seminar provides a thorough and practical understanding of the portfolio credit risk methodology employed in our industry-leading product, Moody's KMV Portfolio Manager™ Valuation, return, and risk at the facility (exposure) level are first explored. Correlation, credit migration, and Monte Carlo simulation are then discussed to explain valuation, return, and risk at the portfolio level. We then focus on loss distribution, economic capital, capital allocation, risk contribution, return on risk-adjusted capital (RORAC), and active portfolio management.
Through hands-on exercises using Portfolio Manager, participants learn to analyze real portfolios, identify the sources and effects of concentration and diversification, and use such understanding to improve portfolio performance. Emphasis is on understanding the outputs and the reason behind the various outputs, e.g. Allocated Capital, Risk Contribution, Expected Return, Sharpe Ratio, and RORAC. Participants learn hands-on how the choice of parameters and inputs affects Portfolio Manager outputs. Basic through advanced concepts, including best practices and stress testing, are explained in an intuitive and interactive format, encouraging participants to ask questions and discuss product-related issues and concepts.
Portfolio Manager Training is available through public seminars and at client sites. For client-site training, the course may be customized to fit client needs. Client-Site Customized Training
Objectives
On completion of the seminar, participants will:
- Understand the Moody's KMV portfolio credit risk methodology and its implementation in Portfolio Manager
- Know how to use Portfolio Manager to understand what drives valuation, return, credit migration, and risk at the facility (exposure) and portfolio level
- Understand the Moody's KMV Global Correlation Factor Model and how correlation impacts portfolio loss distribution, portfolio credit risk, economic capital, and return on risk-adjusted capital (RORAC) within Portfolio Manager
- Understand data, inputs, and parameters needed to create and run a portfolio via Portfolio Manager, and how to correctly specify them, and how they affect the outputs
- Be able to understand Portfolio Manager outputs such as Allocated Capital, Risk Contribution, Expected Return, Sharpe Ratio, and RORAC and explain why they are what they are
- Know how to use Portfolio Manager to analyze credit portfolios, identify the sources and effects of concentration and diversification
- Be able to use Portfolio Manager to improve portfolio performance, given the constraints of their institutions
- Be able to explain to colleagues the material and concepts covered during training
Topics
- Valuation Models/Risk Comparable Valuation
- Credit Migration Model
- Stand-Alone Facility (Exposure) Risk
- Correlation and MKMV Global Correlation Factor Model
- Monte Carlo Simulation
- Loss Distribution and Portfolio Credit Risk
- Value-at-Risk, Economic Capital, and Capital Allocation
- Risk Contribution and Tail Risk Contribution
- Risk Adjusted Performance Measures (RAPM): Sharpe Ratio, RORAC, Economic Value Added (EVA)
- Best Practices and not so good practices
- Inputs, Parameters, Outputs, Features, and Functionalities of Portfolio Manager
- Hands-on Exercises: Understanding Facility Valuation and Return
- Hands-on Exercises: Understanding the drivers of Stand-Alone Risk of a Facility
- Hands-on Exercises: Understanding the factors driving Correlation between Asset Returns of Borrowers
- Hands-on Exercises: Portfolio Analysis - Understanding Portfolio level risk, return, and capital
- Hands-on Exercises: Portfolio Analysis - Understanding Capital Allocated to Facilities and Sub-Portfolios
- Hands-on Exercises: Portfolio Analysis - Understanding sources of portfolio concentration and diversification
- Hands-on Exercises: Portfolio Analysis - What-if Analysis, Scenario Analysis, Stress Analysis
- Hands-on Exercises: Understanding how inputs and parameters choices affect the outputs and results
- Q&A
Materials
Participants will receive a training package with presentation material and reference documents for use during and after the seminar of the seminar.
Registration Details
| Cost: |
US$4,000
US$2,000 (MKMV client 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.
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Location |
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Venue |
| 11-12 March 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 |
| 1-2 April 2009 |
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New York |
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Moody's
7 World Trade Center
250 Greenwich Street
New York, New York 10007
212-553-4500 |
| 20-21 May 2009 |
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Sydney |
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To Be Confirmed
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| 27-28 May 2009 |
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Singapore |
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To Be Confirmed
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| 9-10 September 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 |
| 14-15 October 2009 |
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New York |
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Moody's
7 World Trade Center
250 Greenwich Street
New York, New York 10007
212-553-4500 |
Note: The table above shows dates only for Portfolio Manager Training. To view these dates along with dates for Credit Monitor, CreditEdge, and RiskCalc trainings, see the combined Risk Product Training Session Schedule - Classroom.
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