Moody's KMV - The Leading Provider of Credit Risk Management Solutions

Moody's KMV Product Training

Overview

RiskCalc/Private Firm EDF Training

CreditEdge/Public Firm EDF Training

Credit Monitor/Public Firm EDF Training

Portfolio Manager Training

RiskFrontier Training

RiskAnalyst Training

Financial Analyst Training

Risk Advisor Training

MKMV Training Calendar

Kristina Wun
Phone:
+1 (415)874-6568 (Option 5)
Email:
training@MKMV.com

Additional RiskFrontier Training Course:
RiskFrontier Training - Client Site Customized
Credit Portfolio Engineering Course

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 RiskFrontier™ and how it can be used to meet your business needs. 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 RiskFrontier, 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 RiskFrontier 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.

RiskFrontier Training can also be customized and delivered at client-site to meet client-specific 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 RiskFrontier
Know how to use RiskFrontier 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 RiskFrontier
Understand data, inputs, and parameters needed to create and run a portfolio via RiskFrontier, and how to correctly specify them, and how they affect the outputs
Be able to understand RiskFrontier 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 RiskFrontier to analyze credit portfolios, identify the sources and effects of concentration and diversification
Be able to use RiskFrontier 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 RiskFrontier
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.

Date	Location	Venue
24-25 June 2009	New York	Moody's 7 World Trade Center 250 Greenwich Street New York, New York 10007 212-553-4500
9-10 September 2009	London	Moody's KMV 12 Arthur Street London EC4R 9AB United Kingdom +44 (0) 20 7280 8300
4-5 November 2009	Sydney	To Be Confirmed
18-19 November 2009	New York	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 RiskFrontier Training. To view these dates along with dates for Credit Monitor, CreditEdge, and RiskCalc trainings, see the combined Risk Product Training Session Schedule - Classroom.