Risk Practitioner Conference
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1 Risk Practitioner Conference Introducing RiskFrontier for Portfolio Management DOY CHARNSUPHARINDR, Director VANESSA WU, Managing Director October 2011
2 Agenda 1. What is RiskFrontier? 2. How is RiskFrontier used? 3. What are the highlights of recent features? 4. What s next? 2
3 1 What is RiskFrontier?
4 Introducing RiskFrontier» Portfolio solution used by financial institutions and corporations to» Manage credit portfolio risk and return» Compute economic capital and assess capital adequacy» Drive business strategy» Clients include global banks, insurance companies, asset managers, and corporations» Recognized by risk practitioners and regulators for its advanced analytics and empirical research» Sophisticated model and state-of-art technology that are comprehensive and scalable 4
5 Drivers of Credit Portfolio Risk Portfolio Credit Risk Stand-alone Credit Risk Correlation in Exposure Values Amount Held (Concentration) Recovery Rates Default Probabilities Asset Correlations» Effective management of credit portfolio risk requires» Correlation measure critical for understanding diversification/concentration» Granular approach key to identifying the risk contributors at all levels» What-if analysis important to examine performance of the portfolio under varying assumptions 5
6 RiskFrontier Solution» GCorr correlation model enables you to» Measure correlation and concentration across different instrument types, asset classes, portfolios, and business lines» Quantify diversification benefits of two or more portfolios (e.g., corporate, real estate, sovereign portfolio)» Capture credit risk across both single names, CDS, and structured products» Bottoms-up approach provides» Allocation of portfolio risk/capital at exposure level» Analysis of risk/return tradeoff, enabling active portfolio optimization» What-if analysis» Scenario analysis to capture the impact of changing/stressing portfolio inputs» Relative risk analysis to compare a portfolio against its benchmark 6
7 RiskFrontier Feature Release Highlights RiskFrontier launch (March, 2007) CDO and structured instrument modeling Simulation Services Importance Sampling RiskFrontier DealAnalyzer (RFDA) CRE modeling Retail modeling CRE Correlation Retail Correlation High Performance Package Portfolio distribution report Monte Carlo Output File PD-LGD Correlation CDS risk decomposition CDO heterogeneity Data precedence and presets Enhanced Simulation Services Secured FTP data delivery RFDA CRE and Retail modeling RFDA - Multi-thread analysis and system console Relative Risk (or Relative VaR) Trade Optimization SME Correlation: France, UK, US Improved error handling Pair-wise correlation utility MC output file filters Unlimited User Defined Variables Portfolio Snapshots Sovereign Correlation Defaulted Assets Sub-Portfolio Analysis RFDA /Trade trade strategy on stressed, merged, and Relative Risk portfolios RFDA/Trade - Modeled R-squared for trade analysis Trade against multiple reference portfolios Portfolio expiration 7
8 2 How is RiskFrontier used?
9 RiskFrontier Home Page Issuer: MGM Resorts International Expected Spread (bp): Risk Contribution (bp): Double click to see details. 9
10 Examples of how RiskFrontier is used» Manage concentration risk» Optimize risk/return and economic profit, centrally and at origination» Assess capital adequacy» Determine risk appetite» Stress testing» Drive business strategy: performance incentives, macro-hedge strategy and trading budget 10
11 Bank case study» Organization: large international bank» Department: Group Risk Management, Global Banking and Markets» Primary use in Group Risk Management» Portfolio EC calculation and capital allocation to business units» Primary use in Portfolio Management Global Banking and Markets» Portfolio EC calculation» New deal evaluation used by 1,500 users in 46 countries» Deal and client profitability measurement and forecast, benefiting both account managers and management 11
12 Insurance case study» Organization: Nationwide Insurance» Primary Business: One of the top US insurance and financial services companies headquartered in Columbus, Ohio» Primary use of RiskFrontier» At the Enterprise Level: manage aggregate solvency risk» At Investment Unit:» Manage overall portfolio risk via risk budgets» Manage concentration and sector risks» Provide inputs for asset allocation and security selection» Measure performance on a risk adjusted basis 12
13 CDP: An Asset Manager Example» Organization name: Caisse de dépôt et placement du Québec» Primary business: One of the largest institutional fund managers in Canada and North America» Primary use of RiskFrontier :» Risk Management and portfolio management» Absolute and relative credit VaR measurement for all the levels of the portfolio hierarchy» Absolute and relative credit VaR contributions» What-if analysis» Main value propositions of RiskFrontier :» Improvement of credit risk management in portfolio context» Capacity to run scenario analysis» Capacity to estimate correctly the level of credit risk and obtain a coherent and comparable measure of credit risk throughout the portfolios 13
14 3 What are the highlights of recent features?
15 Sovereign Correlation: Our research findings» Average correlation of sovereigns is higher than the average correlation of other asset classes» Large variations in correlation across countries not prudent to use one fixed correlation for all sovereigns
16 Using Sovereign Correlation to accurately capture the impact of sovereign risk on my portfolio Portfolio Characteristics:» Sovereign debts from 89 countries Case Study:» Use fixed RSQ (= 65%) vs. MA-provided Sovereign RSQs Portfolio Results ($MM) "Fixed" RSQs Sovereign RSQs MTM Expected Spread Expected Loss Unexpected Loss Capital Sharpe Ratio 65.57% 65.65% Vasicek Ratio 34.81% 35.27% Brazil actually has higher risk contribution to the portfolio when accounting for sovereign correlation No impact on Spain s risk contribution Other countries (e.g. UK, Greece) have lower risk contribution than originally thought Sovereign Correlation reveals how much each country really contributes to the overall portfolio risk
17 Using RiskFrontier to optimize a deal Strategies to Reduce Risk / Increase Return: Strategy A A. Increase fees / reduce LGD Expected Spread Strategy C Names with higher Sharpe Ratio Strategy E Names with lower Sharpe Ratio Strategy B Initial Strategy D B. Reduce commitment C. Hedge w/ CDS D. Sell / Don t renew E. Redeploy budget for better investment Risk Contribution
18 Using Trade Optimization to improve the portfolio Portfolio Characteristics:» $2.5 billion» 450 U.S. and Canadian corporate bonds» Highly concentrated in oil exploration and construction Strategy:» Sell 5 bonds in highly concentrated industries, totaling = $27.7MM» Use RiskFrontier to decide how to invest the available capital based on a list of potential deals Portfolio Results ($ millions) Results: Before Trade Optimization After Trade Optimization MTM 1,636 1,630 Expected Loss Unexpected Loss Capital Sharpe Ratio 91% 93% Vasicek Ratio 54% 57%» Buy 5 bonds in less concentrated industry (e.g. media) to optimize Sharpe Ratio» Optimally trading < 1% of portfolio reduced portfolio risk by 4% -1% -4% +2% +3% 18
19 Using Relative Risk to measure performance of your portfolio against a benchmark, index, or target portfolio Caisse Bond Portfolio:» Mix of Canadian and Crown Corporation, Provincial, Municipal, and Corporate sectors, and bond derivatives» Concentration in Quebec» Modified duration of 6 years Benchmark Portfolio:» DEX Universe Bond Index (12/31/10) Regular Analysis Relative Risk Analysis Caisse Bond Portfolio Absolute CVaR Relative CVaR Other Corporate, 13% Municipal, 1% Financial Corporate, 14% Federal Govt, 46% Regular Analysis Benchmark Portfolio Absolute CVaR Provincial Govt, 26% 19
20 Using Relative Risk: practical example Portfolio Market Value Portfolio Absolute CVaR Benchmark Absolute CVaR Relative CVaR Billion $ Million $ b.p. b.p. Million $ b.p. Bond Portfolio Provincial mandate Canada mandate Corporate mandate » Compare Absolute Risks Portfolio Absolute CVaR vs. Benchmark Absolute CVaR» Compare Relative vs. Absolute Risks (Portfolio Absolute CVaR Benchmark Absolute CVaR) vs. Relative CVaR» Quantify diversification effect Absolute CVaR of combined portfolio vs. Sum of Absolute CVaR of each sub-portfolios 20
21 Using Relative Risk to identify contributors of risks and returns Top Absolute CVaR Contributors Risk Market Contribution Value Ratings QUEBEC PROV 15% 15.0% A+ HYDRO-QUEBEC 8% 7.0% A+ CANADA GOVT 5% 35.0% AAA PUBLIC INVESTMENT #1 4% 1.0% BBB COPORATE #1 3% 0.5% B- Top Relative CVaR Contributors Relative Market Value Ratings Risk Contribution COPORATE #1 20% 0.5% B- PUBLIC INVESTMENT #1 14% 0.7% BBB COPORATE #2 10% 0.4% CCC COPORATE #3 6% 0.3% B- COPORATE #4 5% 0.3% CCC» Risk vs. Return Contributors (in absolute vs. relative terms)» Market Value Contributors (in absolute vs. relative terms)» Sources of Risk Contribution (e.g. ratings) 21
22 4 What s next?
23 Looking ahead: examples of future enhancements» Advancing the Technology ability to use third party grid, set job priority, more efficient management of server pools» Correlation updates GCorr update and new SME correlation for Canada, Germany, Italy, South Africa» Trade enhancements UI and usability enhancements, tail-risk optimization» Extended scenario capabilities ability to set what-if scenarios based on LGD, counterparty type, user-defined variables, etc.» New reports to extract insight capital consumption, rating sensitivity, risk appetite/limits» Ongoing research Incremental Risk Charge, multi-dimensional lattice for interest-credit risk integration, multi-step Monte Carlo for multi-period analysis
24 Join Us!» RiskFrontier is increasingly adopted by banks, insurance, asset managers as the best practice solution for credit portfolio risk» Be a part of our community to share and promote better portfolio risk management!» Annual Portfolio User Groups: New York, June 7, 2012 and London, June 14, 2012» RiskFrontier User Experience Group: meets 2-4 times a year» Contact us: RiskFrontierProductManagement@Moodys.com 24
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