- 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).
English, Chinese (Simplified)
- 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.