SPECIAL OFFERS: 20% Super Early Bird Discount Until Friday 2nd February 2018. When 2 colleagues attend the 3rd goes free!
Half Day: Thursday 8th March, 13.30 – 17.30
Full Day: Friday 9th March, 09.00 – 15.30
1) Methods to build well-structured stress tests and scenario analysis: which technique should we use (Bayesian nets and other methods)?
2) The three main applications:
a. single – transaction analysis
b. asset allocation
c. large and complex portfolios
3) How to root stress testing in solid financial theory
4) How to handle the dimensionality curse (ie, how to cascade a stress view from a small number of risk factors to many asset prices)
5) How to handle the consistency requirement between stress and no-stress risk measures
6) How to associate an approximate probability to the scenario
7) How to carry out sensitivity analysis
8) How to carry out a Monte Carlo simulation for stress analysis
9) Bells and whistles – ie, how to refine the results and extract additional information
Case Studies and Realistic Stress Tests:
During the course the delegates will build a realistic stress-testing scenario chosen by the delegates (Hard Brexit? Italian banking crisis? North Korea crisis?) both for a complex portfolio and for a specific transaction (eg, Hard Brexit and the UK yield-curve steepener trade).
During the construction of the scenario, the insights and techniques learnt during the course will be used in practice. The delegates will go back to their offices knowing how to carry out a realistic scenario themselves.