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Risk Management Certification (ACP-RM) PDF Print E-mail

Allegro-University-LogoThe Allegro Risk Management certification assesses your ability to configure Allegro software to solve real-world business situations/scenarios pertaining to Risk Management.

Exam Number: RM999.1 Risk Management Certification v1
Exam Price: $375 USD
Exam Registration: contact training@allegrodev.com
Duration: 4 hours
Format: Hands on using personalized testing database
Number of Questions: 10
Passing Score: 80%

Recommended Training and Preparation

The scenarios in this certification assume you have experience in either implementing or using Allegro 8 in risk management situations.

(all course version 8.0 unless otherwise noted)

RM201 Price: Forward Curves

The purpose of this course is to provide the participants with the knowledge and skills necessary to configure position valuations. After completing this course, the participant will be able to:

  • Configure a forward curve
  • Configure currencies
  • Configure interest rates
  • Configure and calculate volatilities and correlation
Duration: 80 minutes
RM202 Positions: Valuation & Disaggregation

The purpose of this course is to provide the participant with the knowledge and skills necessary to configure portfolio valuations. After completing this course, the participant will be able to:

  • Configure valuation modes and valuation segments
  • Configure valuation segments for optimal performance
  • Utilize multiple valuation modes for reporting
  • Manually invoke a valuation using the Process Manager
Duration: 35 minutes
RM301 Position: Mark to Market

The purpose of this course is to provide the participant with the knowledge and skills necessary to review and analyze the results of a position valuation. After completing this course, the participant will be able to:

  • Utilize Allegro’s Mark-to-Market reports (views)
  • Generate ad-hoc M2M on a trade
Duration: 20 minutes
RM302 Position: Exposure

The purpose of this course is to provide the participant with the knowledge and skills necessary to configure, review and evaluate position exposure. Participants will learn how to:

  • Configure position reports for view exposure
  • Perform value-at-risk (VaR) calculations
  • Interpret VaR reporting
Duration: 20 minutes
RM401 Credit

Credit risk management has become an essential component of business success.  In this course, participants will learn how to use Allegro’s credit module to evaluate your company’s exposure to counterparty credit risk. Participants will learn how to:

  • Understand the basics of credit risk management
  • Configure Credit parameters
  • Configure counterparty with credit limits and assign collateral
  • Evaluate credit exposure reports
  • Capture elements required for completion of the S&P Liquidity report
Version: 8.1
Duration: 45 minutes
RM402 Simulation

In this course, participants will learn how to “stress” their portfolio by simulating adjustments (up and down) to various parameters impacting position and market value.   Participants will learn how to generate “on-the-fly” simulations as well as how to configure and reuse simulations.

Duration: 15 minutes

 

Exam topics

Forward Curves

  • Create a market area and tie to a geographic area
  • Create a settlement curve
  • Create a forward curve
  • Create a volatility curve and associate with a settlement curve
  • Capture volatilities for forward delivery periods
  • Configure currencies
  • Capture spot and forward currency exchange rates
  • Configure Interest indexes
  • Capture interest rates

Value at Risk

  • Configure option valuation methodologies
  • Configure VaR calculation methodology
  • Capture correlation data
  • Calculate value-at-risk
  • Generate and evaluate Value at Risk reports

Mark to Market Reporting

  • Generate and evaluate Mark to Market results

Valuation and Disaggregation

  • Configure valuation modes and valuation segments including
    • Currency and UOM conversion
    • Time disaggregation varying by commodity
    • Real time valuations
    • Filtering segment based on data values

Credit

  • Configure Credit parameters
  • Configure Counterparty with credit limits
  • Capture key counterparty financial data
  • Evaluate credit exposure

Simulation

  • Create new simulation
  • Save simulation definition
  • Select pre-defined simulation definition
  • Set conditional simulation variables
  • Set simulation output, range and variables
  • Calculate simulation