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January 24, 2018
11AM (EST)/4PM (GMT)

February 7, 2018
11AM (EST)/4PM (GMT)
Under a risk management framework, stress tests are an indispensable complement to risk models such as VaR. Stress tests overcome the shortcomings of risk models during abnormal market or crisis periods by looking at extreme but plausible movements of risk factors. In this webinar, Robert Stamicar, Strategic Innovation, outlined common stress testing techniques--historical, user-defined, and transitive--and highlight the pros and cons of each type of stress test.
Reverse stress tests are attractive from a risk perspective, but how do we go about implementing a reverse stress testing program that is independent of a manager’s bias? Under traditional stress tests, managers select stress factor shocks. But have the magnitudes of these factor shocks been impartially selected and how plausible are they? In this webinar, Robert Stamicar, Strategic Innovation, will discuss a systematic and quantitative approach that helps eliminate manager bias.

February 21, 2018
11AM (EST)/4PM (GMT)
AXIOMA WEBINARS


Stress Testing

Join us for these insightful presentations to learn more about stress testing techniques and best practices.


Stress Testing 101 For Market Risk


January 24, 2018
11AM (EST)/4PM (GMT)

Under a risk management framework, stress tests are an indispensable complement to risk models such as VaR. Stress tests overcome the shortcomings of risk models during abnormal market or crisis periods by looking at extreme but plausible movements of risk factors. In this webinar, Robert Stamicar, Multi-Asset Class Specialist, will outline common stress testing techniques--historical, user-defined, and transitive--and highlight the pros and cons of each type of stress test.

Watch On-Demand >

A good stress test needs two ingredients. First, one needs to decide, which variable(s) to stress and by how much. Second, comes the identification of a suitable calibration period for the covariance matrix used to estimate the other pricing factors. The latter can often be the more difficult, in particular, if one does not want to simply rely on recent correlations to hold. In this webinar, Christoph V. Schon, Executive Director of Applied Research, talks about the challenges he and his colleagues have faced and how they have dealt with them.



Stress Testing in Practice


February 7, 2018
11AM (EST)/4PM (GMT)

A good stress test needs two ingredients. First, one needs to decide, which variable(s) to stress and by how much. Second, comes the identification of a suitable calibration period for the covariance matrix used to estimate the other pricing factors. The latter can often be the more difficult, in particular, if one does not want to simply rely on recent correlations to hold. In this webinar, Christoph V. Schon, Executive Director of Applied Research, talks about the challenges he and his colleagues have faced and how they have dealt with them.

Watch On-Demand >


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Reverse Stress Testing Challenges


February 21, 2018
11AM (EST)/4PM (GMT)

Reverse stress tests are attractive from a risk perspective, but how do we go about implementing a reverse stress testing program that is independent of a manager’s bias? Under traditional stress tests, managers select stress factor shocks. But have the magnitudes of these factor shocks been impartially selected and how plausible are they? In this webinar, Robert Stamicar, Multi-Asset Class Specialist, will discuss a systematic and quantitative approach that helps eliminate manager bias.

Register Today >