stressed-var
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P1.T4.24.19. Stressed VaR & Stressed ES vs. Traditional Models & Reverse Stress Testing
Learning Objectives: Describe stressed VaR and stressed ES, including their advantages and disadvantages, and compare the process of determining stressed VaR and ES to that of traditional VaR and ES. Describe reverse stress testing and describe an example of regulatory stress testing...- Nicole Seaman
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- regulatory-stress-testing reverse-stress-testing stressed-es stressed-var traditional-es traditional-var
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- Forum: FRM® Practice Questions
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P2.T7.20.9. Solvency, liquidity and other regulation after the global financial crisis (1of 2)
Learning objectives: Describe and calculate the stressed VaR introduced in Basel 2.5 and calculate the market risk capital charge. Explain the process of calculating the incremental risk capital charge for positions held in a bank’s trading book. Describe the comprehensive risk (CR) capital...- Nicole Seaman
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- comprehensive-risk-capital-charge incremental-risk-charge market-risk-capital-charge stressed-var tier-1-capital tier-2-capital total-capital
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- Forum: FRM® Practice Questions
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P1.T4.802. Stress Testing and Other Risk Management Tools (Siddique)
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...- Nicole Seaman
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- enterprise-wide-stress-testing stress-testing stressed-inputs stressed-risk-metrics stressed-var var-models
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- Forum: FRM® Practice Questions
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P2.T7.520. Basel 2.5 with stressed VaR, IRC and CRM (Hull)
Learning outcomes: Describe and calculate the stressed value-at-risk measure introduced in Basel 2.5, and calculate the market risk capital charge. Explain the process of calculating the incremental risk capital charge for positions held in a bank’s trading book. Describe the comprehensive risk...- Nicole Seaman
- Thread
- basel 2.5 comprehensive-risk-capital-charge crm incremental-risk-charge irc market-risk-capital-charge stressed-var trading-book
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- Forum: FRM® Practice Questions