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Moody's KMV Product Training |
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RiskFrontier 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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RiskFrontier training is fully customizable and available at client sites.
Request Client-Site Customized Training
Additional RiskFrontier Training:
Credit Portfolio Engineering Course |
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Overview
Training targeted to Business Use: The goal of client-site customized RiskFrontier training is for end-users and decision-makers to understand the use of RiskFrontier in the context of their portfolio(s), business goals, and constraints enabling them to manage Economic Capital and portfolio risk to create value for their firm. Clear, thorough, and interactive explanations and discussions by product and industry experts lead participants with diverse backgrounds and functions to a common, rational, and actionable understanding. End result: Participants are able to use RiskFrontier to meet their firm's strategic goals and support related actions, decisions, and communications.
Practical Hands-On Training: This training provides a thorough and practical understanding of the portfolio credit risk methodology employed in RiskFrontier, while emphasizing real-world applications and decision making. Through hands-on exercises using RiskFrontier, participants learn to analyze real portfolios, identify sources and effects of concentration and diversification, and use such understanding to manage risk and improve portfolio performance. Emphasis is on understanding the outputs and the reasoning behind the outputs, e.g. Allocated Capital, Risk Contribution, Tail Risk Contribution, RORAC, and Sharpe Ratio. Participants learn hands-on how the choice of parameters and inputs affects RiskFrontier outputs, and how to parameterize RiskFrontier to meet strategic objectives. Assumptions are examined and guidance is provided regarding overcoming data, modeling, and other business challenges. Basic through advanced concepts are explained in an intuitive and interactive format, encouraging participants to ask questions and discuss credit risk modeling/management issues and concepts.
Customization, Premium Content, and Portfolio Analysis: This training is fully customizable to meet training needs specified by the client. Typically, such training lasts 2-3 days and is delivered by product and industry experts in a classroom setting (up to 30 trainees) at the client premises using laptops with access to RiskFrontier software and the client portfolio. Both the duration and the location can be adjusted to meet client preferences. Training contents and format can be customized to meet, for example, the following client requirements:
- Exclude, include, or emphasize topics specified by the client. Wide range of topics: Regulatory vs. Economic Capital, Basel II / Pillar 2, stress testing, quantifying concentration risk, best practices, etc.
- Business/implementation topics: Limit setting, RAROC/Profitability/Performance Mgmt, Transfer Pricing, etc.
- Parts of the training can be dedicated to specific purpose/audience:
- Strategic or executive training for Senior Management
- Training specific to Retail banking/business line; insurance companies; asset management firms
- Training specific to CDO/credit derivatives, etc.
- Address, explain, and resolve product and business issues that client specifies in advance
- Hands-on portfolio analysis training to understand portfolio risk drivers using RF on client supplied portfolio
RiskFrontier training is fully customizable and available at client sites. Request Client-Site Customized Training
Objectives
- Meet client-specified custom training needs, including examples listed above
- 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 RF
- Understand the data, inputs, and parameters needed to create and run a portfolio via RF, how to correctly specify them, and how they affect the outputs
- Be able to understand RF outputs such as Allocated Capital, Risk Contribution, Tail 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, understand the drivers of portfolio risk, and identify/quantify the sources and effects of concentration and diversification
- Be able to use RiskFrontier to analyze and explain how each facility contributes to portfolio risk and return
- 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
Premium Topics related to Risk Management, Strategic Goals, and Business Use
All client-specified custom topics, including example topics listed below:
- Regulatory vs. Economic Capital vs. Actual Capital; Basel II / Pillar 2
- Stress Testing
- Quantifying Concentration Risk
- Dynamic Limit-setting using Economic Capital framework
- Marginal Risk Measures: Volatility Contribution vs. Tail Risk Contribution
- Operational (Business Line) Decisions vs. Portfolio (Risk Management) Decisions; Transfer Pricing
- Managing Economic capital to drive Profitability and create Shareholder Value
- Risk Adjusted Performance Measurement and Management
- RAROC / Hurdle Rate / Economic Value Added (EVA)
- Managing Retail Portfolios or Sub-Portfolios
- Best Practices and not so good practices
- Extensive Q&A
Standard Topics
- Data/Hardware/Software/Architecture
- Valuation Models (Lattice Valuation, 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
- Inputs, Parameters, Outputs, Features, and Functionalities of RiskFrontier
- Scenario Analysis
- Modeling CDS
- Modeling Equity
Hands-On Exercises using 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
Optional Topics (Depending on Subscription to Optional Modules)
- Optional: CDO Analytics
- Optional: DealAnalyzer API
- Optional: High Performance Package (to reduce computation time or memory issues)
Training Documentation and Laptops
Participants will receive a training manual containing presentation material and reference documents for use during and after the client-site customized RiskFrontier training.
MKMV will provide training laptops (for a nominal fee) for use during the client-site customized RiskFrontier training if client is not able to provide training laptops with access to RiskFrontier.
RiskFrontier training is fully customizable and available at client sites. Request Client-Site Customized Training
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