February 7, 2018
Recording | Stress Testing in Practice
Presenter: Christoph V. Schon, Executive Director of Applied Research
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, discussed the challenges he and his colleagues face (e.g. looking for relevant precedents or dealing with a lack of historical data) and how they deal with them, drawing from a number of recent studies conducted by the team.
View the webcast recording here.