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1 vote

Liquidity Stress Test of Investment fund - Liquidation tracking error

not sure if i got the gist of your question, but in general i'd say you can do a little of matrix algebra starting from the correlation matrix to get the covariance matrix. if you were to do this for ...
mountshoutcap's user avatar
1 vote

Stress Testing for VaR

Question to your question, why are you stress testing var ? Vars definition is clear. Apply a stress test on top. The derivatives policy you mention seems to be quite basic. I'd either pick a stress ...
user68819's user avatar
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