Der Vortrag „Portfolio Stress Testing“ von Edu Pristine ist Bestandteil des Kurses „ARCHIV Market Risk“. Der Vortrag ist dabei in folgende Kapitel unterteilt:
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... - Define Stress Testing - Describe the historical and conceptual context of stress testing - Explain Historical Scenarios ...
... to identify potential extreme adverse outcomes and their severity impact on a portfolio. In the past, many events have taken place that VaR models simply fail to capture (say, possibility of 6 standard deviation movement, if VaR model assumes a normal distribution is 1/1000000000. In 1987, S&P 500 moved by ...
... For instance, largest losses actually recorded by a bank during a particular period. Scenarios requiring simulation by the Bank: Impact on portfolio of stress scenarios experienced by the market in the past. For instance, market movements experienced in 1987 and 1988 or ...
... (INR depreciated by 25% wrt USD in 6 months). No data for certain shock factors: For new instruments, there would be no historical stress data (credit derivatives prior to 2000): In such cases, proxies maybe taken. Hypothetical Scenarios. Correlation break-down maybe taken as a hypothetical scenarios. Same VaR model may then ...
... prices by 6 times daily standard deviation to arrive at impact of meltdown in equity prices. Maximum loss approach: Set of movements in market risk factors that lead to maximum portfolio loss, subject to certain feasibility constraints. Feasibility constraints are require to ensure plausibility of ...
... support mixed 2. No guarantee of ‘worst case’ 3. Limited risk information Algorithmic 1. Factor push 2. Maximum loss 1. Minimal qualitative elements 2. Identifies ‘worst case’ in feasible set ...
... Scenarios Choosing event periods. Event interval to be chosen such that interval selected composes ...
... matrix specifying factor shocks systemic events and ...
... Losses above 99% VaR are assumed to be normally distributed D. Can be evaluated using Block maxima or peak over threshold approaches. Which of the following is false about Stress testing & VaR? A. Stress testing aims to identify potential extreme adverse outcomes and their severity impact on a portfolio ...
... VaR models can predict severity of losses when VaR is exceeded. Basel committee has asked banks to provide stress testing information on Scenarios requiring no simulation by the Bank, Scenarios ...