- Develop a general understanding of stress risk measurement principles.
- Review current methods of measuring stress scenario risk and state of practice.
Design stress scenarios based on risk factor volatility and correlation across different asset classes (Excel).
- Measure stress risk exposure for a portfolio of simple investments and option positions across different asset classes using delta, gamma, and vega (DGV) risk sensitivities (Excel).
- Explore ways to adjust stress scenarios for fat tails, time-weighting, and liquidity.
- Compare stress risk measurement using DGV versus full revaluation for options (Excel).
- 45 minutes
- Staff and management in Risk, Finance, Operations, Audit, Risk IT, and Front Office, in financial organizations globally.
Earn verifiable Continuing Education and Professional Development credits with Optimal MRM’s e-Learning program.
Recommended Course Prerequisites:
How long do I have to complete this course?
- You will have access to course content for 270 days from enrollment date and can choose to complete the course at any time during this period.