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Additional Portfolio Manager Training Course:
Portfolio Engineering Course
Portfolio Manager Training |
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*Course Prerequisite: Corresponding 2-day PEC or a prior 2-day or 3-day PEC seminar
Overview
This one-day course is designed to provide a quantitative understanding of the models on which Moody's KMV RiskFrontier™ is built. The course covers the Lattice modeling which is used to analyze single name credit exposures, as well as the semi-analytic method used to model CDOs. In addition, participants are guided through several detailed case studies. It is assumed that participants have recently attended the Portfolio Engineering Course.
Who Should Attend
The Portfolio Engineering course is targeted to credit professionals who wish to gain a deep understanding of the foundation 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 are required to sign an "Acknowledgement Agreement," and non-clients are required to sign a "Confidentiality Agreement." In certain situations, attendees' department heads may be required to sign additional confidentiality agreements.
Objectives
On completion of the seminar, participants will:
- Understand the modeling approaches used in RiskFrontier™
- Understand how RiskFrontier™ computes return for individual facilities and structured products
- Understand quantitative differences between RiskFrontier™ and Portfolio Manager™
- Understand how the open credit migration and correlation structure can be used to customize RiskFrontier™
Topics
- Lattice valuation of credit instruments
- Modeling options in loans and bonds
- Modeling dynamic usage for revolving lines of credit
- Modeling CDSs with counterparty risk
- Modeling CDOs and BDSs
- Case studies
This course focuses exclusively on the new models in RiskFrontier™.
Materials
Participants will receive a training package with presentation material and reference documents for use during and after the seminar.
Registration Details
*The below one-day pricing is only applicable for those who have already attended PEC training prior to March, 2007.
| Cost: |
US$3,000
US$2,000 (MKMV client rate)*
US$1,000 (Portfolio Manager 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.
Course Agenda
To register online for this course, please click on the applicable date in the table below.
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