Enterprise Risk Management Slides

Stress testing / Liquidity and funding risk [13]

Go to: Summary | Previous | Next
Bullet points include: Often we stress the portfolio value by considering what happens to portfolio value if e.g. interest rates, FX rates, equity prices, oil prices … move in a given way Requires a pricing engine Sometimes apply joint stresses, i.e. joint realisations of specific outcomesMay ‘stress’ VaR or other risk measures by e.g. supposing covariance matrix shifts (e.g. ‘Stressed VaR’)

Bullet points include: Often we stress the portfolio value by considering what happens to portfolio value if e.g. interest rates, FX rates, equity prices, oil prices … move in a given way Requires a pricing engine Sometimes apply joint stresses, i.e. joint realisations of specific outcomesMay ‘stress’ VaR or other risk measures by e.g. supposing covariance matrix shifts (e.g. ‘Stressed VaR’)

NAVIGATION LINKS
Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile