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Stress Testing and Back Testing [11]

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Bullet points include: Cover all risks which affect value or fluctuations in value. Particularly ones not fully captured by VaR model. And ones that could potentially lead to default (NAV<0), particularly if UCITS employs material leverage. Focus on risks that are likely to be significant in stress situations, e.g. Risk of unusual correlation changes. Markets being illiquid. Behaviour of complex structured products under stressed liquidity conditions

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