Questions tagged [stress]
The stress tag has no usage guidance.
7 questions
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Can someone help me understand what are FX Grid changes
In stress testing, some drivers of day on day moves are driven by fx grid changes in e.g. USD downside driven by vanilla options positioning in EURUSD (EUR +x%, +y%,+z% shock) from expiry of long ...
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PRIIPs Stress Scenario for Category 2
I know this topic has been on the table before, but I haven't seen a clear explanation with an example. I have successfully calculated the previous steps in
https://esas-joint-committee.europa.eu/...
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PRIIPS Category 2 Stress Scenario Calc
Good evening
This is where I am currently at with regards to calculating the sub interval details.
I have split the calculation into 2 steps, firstly I am taking the return for date x minus the ...
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Stress Test for gamma FX portfolios?
How can I create scenarios to stress gamma FX portfolios? If I shock the underlying for example +/-10%, then I gain in both scenarios. I get to capture some losses if I shock the implied volatility. ...
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Historical Scenario analysis for stress testing
I am doing historical scenario analysis in order to calculate stressed VAR for which I have taken 2007-2008 US crisis. I have two question in this regard:-
1) As we have to take prices for stocks ...
user18663
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How stressful is work of quants? [closed]
I would like to know how stressful this work can be and where the stress could come from. How to avoid it? Does it really depend on the company you are working? Is there a way to know in advance if ...
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What approaches are there for stress testing a portfolio?
Wikipedia lists three of them:
Extreme event: hypothesize the portfolio's return given the recurrence of a historical event. Current positions and risk exposures are combined with the historical ...
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