April 10, 2018
Stress Testing Best Practices - A CFA Germany event in Munich
Effective stress-testing is both an art and a science. It is not only about knowing which variables to shock and by how much, but also about finding a suitable historical precedent for the calibration of pricing factor correlations. No single stress test is likely provide all the answers an investor may be looking for, and it can be necessary to assign probability weightings to potential outcomes, to look for parallels in historical periods and even to test unprecedented scenarios. In this presentation, Axioma's Executive Director of Applied Research Christoph Schon, CFA, CIPM, and Dr. Bernd Schmid, Managing Director, Sales, EMEA, will talk about stress-testing best practices, drawing from a number of recent studies performed by him and his colleagues at Axioma.