January 24, 2018
Webinar: Stress Testing 101 For Market Risk
Date: Wednesday, Jan. 24, 2018
Time: 11 a.m. EST, 4 p.m. GMT
Under a risk management framework, stress tests are an indispensable complement to risk models such as VaR. Stress tests overcome the shortcomings of risk models during abnormal market or crisis periods by looking at extreme but plausible movements of risk factors. In this webinar, Robert Stamicar, Multi-Asset Class Specialist, will outline common stress testing techniques--historical, user-defined, and transitive--and highlight the pros and cons of each type of stress test. Moreover, he will provide guidance and use cases on designing meaningful market stress tests. For instance, when should a user-defined stress vs. a correlated (transitive) stress test be used? How do we combine different stress tests?