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This course covers many aspects of credit portfolio theory and the modeling of credit instruments in RiskFrontier. Participants are guided through detailed portfolio calculations, including Monte Carlo simulations and asset correlations. The major quantitative components are discussed, including lattice valuation, risk and return measures, portfolio standard deviation and tail risk, simulation, credit migration, correlation, recovery, and portfolio optimization. We also focus on the model validation studies.
- Understand the modeling approaches used in RiskFrontier.
- Understand how RiskFrontier computes economic capital and allocates risk to individual instruments.
- Understand how prices and returns are computed for individual instruments, including structured products.
- Understand the calculations for stand-alone and marginal risk for instruments, structured products, and the portfolio.
- Understand the structure of Moody's Analytics global correlation model, which estimates asset correlations for a variety of asset classes.
- Understand how to use RiskFrontier to improve the performance of portfolios.
- Risk professionals who wish to gain a deeper understanding of Moody's Analytics portfolio models
- Portfolio managers, credit and risk managers, commercial bankers, investment bankers, asset managers, credit analysts, model risk managers, and other financial professionals.
- This is recommended for those with a good understanding of calculus, statistics, and modern financial theory, but all clients and prospective clients are welcome.