Agenda

A decade ago, the integration of market and credit risk was seen as the great challenge in risk modeling. While advances have been made, new challenges have emerged. Some of these are due to the evolution of the marketplace, particularly default risk in trading portfolios, while others, in particular the persistent cultural divide between credit and market risk groups in banking, are still as prevalent as a decade ago. Here, we will discuss which challenges have been solved, which have emerged, and which have been ignored for too long.

The Equity Factor Model was designed to help investment managers investigate and manage portfolio risk.  We give an overview of the methodology and present a case study where interactive tools (rebalancing, limits, optimization,…) are used to construct portfolios.

How to turn industry standard risk capabilities into an integral part of your business processes and decision-making. How to work with secure connections and receive responses directly into your own software applications. Here, we will present and discuss RiskMetrics’ Web Services as a tool to use our services in many different ways.

Structured Credit Products are one of today's fastest growing investment and risk management mechanisms. The building blocks of these products are credit derivatives, which are among the most widely used products. We will present the latest releases and analytics available in RiskManager to capture, isolate and shock their risks.

As more and more investors wake up to the reality of defaults and credit migration, in this session, we examine the implications for fixed income asset allocations. Traditionally, market risk in the form of interest rates has been the main driver of FI allocation decisions. However, credit risk in the form of defaults may have an even bigger impact on portfolios than previously realized. Investors therefore, need to take credit risk into consideration in making allocation decisions.

RiskMetrics Group has developed a new interface to stay abreast of all the latest trends in risk management. We will focus on presenting the interface, functionalities and tools proposed into an enhanced user friendly risk environment.