Stress Testing And Backtesting

Stress Testing and Back Testing [13]

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Bullet points include: Desire for stress testing to complement VaR. To do well requires material effort. Particularly initial definition and updating of stresses. And designing systems capable of re-pricing portfolio if stress occurs. ‘Worst lost’ type stress definitions may be too much like VaR to be truly complementary

Bullet points include: Desire for stress testing to complement VaR. To do well requires material effort. Particularly initial definition and updating of stresses. And designing systems capable of re-pricing portfolio if stress occurs. ‘Worst lost’ type stress definitions may be too much like VaR to be truly complementary

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