This two-day comprehensive training will focus focuses on the details behind the modeling methodologies in RiskFrontier™ and includes practical exercises where participants will use this software and analyze the outputs. The first day of the training focuses on how RiskFrontier models the values of credit instruments and the correlations between value changes. The second day includes a discussion of the Monte Carlo simulation engine, Risk Contribution, return on risk-adjusted capital (RORAC), and active portfolio management. Both days of the training include hands-on exercises using RiskFrontier.
The goal of this training for participants to learn how to identify sources of risk in a sample portfolio in order to improve portfolio performance. These exercises will emphasize the interpretation of the outputs, including Allocated Capital, Risk Contribution, Expected Return, Sharpe Ratio, and RORAC. In order to get the most out of this interactive training, we encourage participants to ask questions and discuss product-related issues and concepts.