Stress Testing

US $165

Description

Learning Objectives:

  • 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).

Subtitles:

English, Chinese (Simplified)

Duration:

45 minutes

Audience:

  • 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.

Content

Course Content

Audio-Visual Content and Course Duration:

  • The time that it takes to complete the course will be determined by your desired pace. It’s estimated that you will spend up to 2 hours to complete the course.
  • The total viewing time of lesson presentations is 1-1.5 hours;  individual lesson topics are between 5-15 minutes each, presented as audio-visual content.
  • The time needed to complete each exercise presented is between 10-20 minutes, based on your level of engagement.
  • The exam is allocated 1 hour.

Downloadable Content:

  • The exercises presented in lessons are provided in a downloadable Excel spreadsheet. This will enable you to practice the exercises, side-by-side with the lesson presentations.
  • A downloadable PDF is provided as a text version of the lessons presentations. This can be used as reference and to make notes, as you go through the presentations.

Exam and Certificate:

  • The course exam is comprised of questions in the form of true/false, multiple choice, sorting choice, and fill in the blank.
  • A personalized course certificate will be issued to you with a minimum score of 50%.

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