RiskFrontier™ Methodology and Business Use Training
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Gain a thorough understanding of the portfolio credit risk methodology employed in RiskFrontier and how it can be used to meet your business needs.
Learning Objectives
- Understand the drivers of valuation, return, credit migration, and risk at the instrument and portfolio levels within RiskFrontier.
- Understand the Moody's Analytics Global Correlation Factor Model and how correlation impacts portfolio loss distribution and portfolio credit risk.
- Understand how portfolio capital is calculated and the impacts of corelations on return on risk-adjusted capital (RORAC).
- Run a portfolio in RiskFrontier and understand outputs, such as allocated capital, risk contribution, expected return, Sharpe ratio, and RORAC.
- Identify sources and effects of concentration and diversification. Use RiskFrontier to improve portfolio performance, given institution-specific constraints.
Who Should Attend?
- Risk professionals who wish to gain a deep understanding of the Moody's Analytics portfolio models
- Financial professionals whose work involves the use of credit portfolios
- Portfolio managers, credit analysts, and credit and risk managers
- Commercial bankers, investment bankers, and asset managers
