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This presentation explores stress testing and back testing for UCITS funds, including proposed regulatory guidelines, back testing issues (such as periodicity, look-back bias, selection effects and market-implied risk measurement). It also explores the different interpretations that can be placed on the term 'stress testing'.

Slides

1	Meeting the Regulatory and Business Expectations of Stress Testing and Back Testing
2	Agenda
3	Agenda
4	CESR proposed guidelines - Overview
5	Comment: in line with regulatory thinking elsewhere
6	Calculation standards
7	Back testing (1)
8	Back testing (2)
9	Comment: are risk models this reliable?
10	Stress testing (1)
11	Stress testing (2)
12	Stress testing (3)
13	Comments
14	Additional safeguards
15	Comment
16	Agenda
17	Visualising likelihoods
18	Back testing
19	Is 99%ile the right quantile to focus on?
20	Does the model fit well 'period by period'?
21	Return behaviour depends on periodicity
22	Lock-back bias, in-sample and out-of-sample testing
23	Selection effects, see Kemp (2010, 2010a, 2010b)
24	Selection effects - potential magnitude
25	Market-implied risk measurement
26	Stress testing
27	Stress testing
28	Different meanings given to the term 'stress testing'
29	Reverse stress testing
30	Stress testing - other observations
31	Summary
32	References
33	Important Information

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