stress-testing

Learning Objectives: Describe the role of policies and procedures, validation, and independent review in stress testing governance. Describe the Basel stress testing principles for banks regarding the implementation of stress testing. Questions: 24.20.1. Pinnacle Investment Funds, a U.S.-based...

Hi all, Refer to the attached, may I know what are the meanings of reduction in market liquidity and exposure valuation? Correct me if I am wrong, reduction in market liquidity means market becoming less liquid, ie transaction cannot take place fast due to asking and bidding price keep on...

Learning objectives: Summarize how to map a fixed-income portfolio into positions of standard instruments. Describe how mapping of risk factors can support stress testing. Explain how VaR can be computed and used relative to a performance benchmark. Describe the method of mapping forwards...

Learning objectives: Describe important dimensions of an ERM program and relate ERM to strategic planning. Explain the role of scenario analysis in the implementation of an ERM program and describe its advantages and disadvantages. Explain the use of scenario analysis in stress testing programs...

Learning objectives: Describe the historical evolution of the stress testing process and compare methodologies of historical EBA, CCAR and SCAP stress tests. Explain challenges in designing stress test scenarios, including the problem of coherence in modeling risk factors. Explain challenges in...

Learning objectives: Describe the limitations of the delta-normal method. Explain the full revaluation method for computing VaR. Compare delta-normal and full revaluation approaches for computing VaR. Explain structured Monte Carlo, stress testing, and scenario analysis methods for computing...

Learning objectives: Describe the relationship between stress testing and other risk measures, particularly in enterprise-wide stress testing. Describe the various approaches to using VaR models in stress tests. Explain the importance of stressed inputs and their importance in stressed VaR...

Learning objectives: Describe the key elements of effective governance over stress testing. Describe the responsibilities of the board of directors and senior management in stress testing activities. Identify elements of clear and comprehensive policies, procedures, and documentations on stress...

Learning objectives: Describe how mapping of risk factors can support stress testing. Explain how VaR can be used as a performance benchmark. Questions: 716.1. The table below exhibits Jorion's stress test of a $200.0 million two-bond portfolio: one bond is a $100.0 million 5-year 6.0% annual...

Learning objectives: Describe a stress test that can be performed on CVA. Calculate the stressed CVA and the stress loss on CVA. Calculate the debt value adjustment (DVA) and explain how stressing DVA enters into aggregating stress tests of CCR. Describe the common pitfalls in stress testing...

Learning objectives: Differentiate among current exposure, peak exposure, expected exposure, and expected positive exposure. Explain the treatment of counterparty credit risk (CCR) both as a credit risk and as a market risk and describe its implications for trading activities and risk management...