February 7, 2018
Webinar: Stress Testing in Practice
Presenter: Christoph V. Schon, Executive Director of Applied Research
Time: 11am EST/4pm GMT
A good stress test needs two ingredients. First, one needs to decide, which variable(s) to stress and by how much. Second comes the identification of a suitable calibration period for the covariance matrix used to estimate the other pricing factors. The latter can often be the more difficult, in particular, if one does not want to simply rely on recent correlations to hold. In this webinar, Christoph V. Schon, Executive Director of Applied Research, talks about the challenges he and his colleagues have faced (e.g. looking for relevant precedents or dealing with a lack of historical data) and how they have dealt with them, drawing from a number of recent studies conducted by the team.