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Find a Course Near You

No course available at this time.

Register for Apr 24-25, 2018 - New York

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

Register for Apr 24-25, 2018 - New York