Download Financial Research Company

Financial Research
Company (FRC)
Group 5
By Roger and Tessi
Outline
What’s FRC?
 KMV

– Background
– Products provided

BARRA
– Background
– Products provided
–R & D
What’s FRC?

Risk analyzing

Provide BEST method for
improving portfolio performance

market-based, quantitative credit
risk products for credit risk
investors
Background
Founded in 1989
 World-wide: New York, London,
Tokyo…
 Focus: credit risk
 Treat credit risk as a portfolio
management problem
 All products are based on EDF
(expected default frequency)

Products
1.
Company analysis
– Credit Monitor®
– CreditEdgeTM
2.
Portfolio analysis
– KMV Portfolio ManagerTM
Product1 – Company
analysis
1. Credit Monitor®: Window-based
software
– Pro-forma analysis for both public
and private firms
– KMV EDF credit measures on
25,000 public and 125,000 private
firms
– Reports EDF credit measures
updated on monthly basis
Product1 – Company
analysis
2. CreditEdgeTM: Web-based
– KMV EDF credit measures on
>25,000 publicly-traded firms
globally
– Reports EDF credit measures
updated on daily basis
– Tailor-made features to those
operating in a real-time Internet
environment, make buy and sell
decisions quickly and often
Benefits

Know your risks
– with a higher degree of accuracy

Gain insight
– Compare company’s default risk with
peers’ and its industry

Receive early warning
– take action to avoid great losses
Product2 – Portfolio
analysis
KMV Portfolio ManagerTM
 For managing the credit risk and
return of debt portfolios, large
and small.
 32-bit PC-based application
highly optimized for speed
 Rapid and accurate calculation
 Easy visualization of results
Product2 – Portfolio
analysis
Main functions:
1. Analyze on return for investors
2. Analyze
whether
the
BEST
combination of assets that provides
the most diversification benefit
3. Identify the assets that degraded
portfolio’s performance
4. Ways
to
improve
portfolio’s
performance
•
E.g. which assets should be sold? By how
much? In what quantity?
Benefits

Understand your portfolio risk
– Measure the risk and return
characteristics of every exposure
within your portfolio
» E.g. loans, bonds, credit derivatives,
mortgage…
Avoid large losses
 Improve performance

– Make valuable adjustments
Credit Risk
The possibility that a bond issuer
will default, i.e. fail to repay
principle and interest in a timely
manner.
Also called: Default risk
Back
EDF
EDF is the world's most accurate
and powerful measure of a
company's default risk
 Probability that a firm will default
within a given time frame
 Components of EDF

– Market value of a firm
– Level of debt obligations
– Volatility of a firm’s value
Why EDF is important?

Default risks are dynamic

Efficient diversification of firms’
portfolio requires active portfolio
management.
Back
BARRA
Background



Providing services since 1975
risk management technology and
decision support tools and products
Barra offers:
–
–
–
–
–
high-tech tools
superior analytics
research
models and data
provide comprehensive risk management
solutions
Products
Barra Products
Portfolio Risk Management
1. Barra Aegis System™
2. Barra Cosmos System ™
Enterprise Risk Management
Barra Total Risk ™
Products: Portfolio Risk
Management

The Barra Aegis System ™
– Equity Portfolio Management
– Managing an equity investment portfolio
requires an understanding of risk
– Analyze the components of portfolio risk
and exposure to multiple factors that affect
stock price movements.
Products: Enterprise Risk
Management

The Barra TotalRisk System™
– Analyze, monitor, report, and manage
your firm-wide risk with the Barra
TotalRisk System.
– Leveraging Barra's risk modeling
expertise, client services and
sophisticated technology
Research and
Development
Barra Products
S&P/Barra U.S. Equity Indexes
Research Database
Canada Equity Style Indexes
Newsletter Online
Research and
Development

S&P/Barra U.S. Equity Indexes
– View detailed information about the
S&P/Barra family of indexes,
including returns over various periods
plus fundamental characteristics and
sector weights, for any date back to
index inception.
Research and
Development

Research Database
– forefront of applied financial research since
1974.
– a variety of areas including risk management,
returns forecasting, transactions analytics, and
asset allocation.
– investigate all major markets and traded
instruments worldwide.
– library of published research papers and
archived newsletter articles authored by Barra
employees available online.
Client Support



Training
Access product tutorials, begin an
online, self-paced workshop, or register
to attend an instructor-led workshop
Applications & Data
Download applications and data, check
the current update status, subscribe to
update notifications and review the
latest news
Library
Download handbooks, Getting Started
guides, and other supporting
documentation
Client Support


Staff Directory
Find phone numbers and e-mail
addresses for the Barra staff supporting
you.
Equity Models
View a detailed overview of Barra equity
models, see recent factor performance
highlights for any of our equity models
and generate cumulative return charts
for either risk index or industry factors.