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Questions tagged [stress]

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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/...
Apnurm's user avatar
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1 vote
1 answer
727 views

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 ...
Matthew's user avatar
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1 vote
0 answers
97 views

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. ...
Carlos Moura's user avatar
1 vote
1 answer
582 views

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 ...
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1 answer
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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 ...
Roman's user avatar
  • 529
18 votes
1 answer
622 views

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 ...
dsm's user avatar
  • 283