Introduction to Risk Shell Stress Test frameworks: multi-factor models, databases and risk statistics. UTC time zone
Is Your Portfolio Ready for the Next Market Crisis?
A special event webinar dedicated to the ABC Quant's proprietary stress test risk assessment framework. ABC Quant has developed the first in the industry stress test database (STDB) covering over 600,000 instruments, which include hedge funds, ETFs, mutual funds and CTAs. The STDB contains assets expected performance during simulated historical extreme events, e.g., the Credit Crunch 2008, Bear Stearns collapse, the Greek Crisis 2010 and so on. The STDN is being updated monthly and allows investors screening assets with defined stress test profiles. The new approach to asset screening greatly improves a traditional investment process and saves time on risk analysis: instead of performing stress tests on pre-selected assets investors can filter assets with desirable stress test profiles.
This tutorial explains the methodology of the Macroeconomic Scenario Screening™ and Trend Segmentation™ models and their implementation in practice, from the hedge fund investor's standpoint..
Basics of Stress Testing
- Explaining factor models and the ways of selecting factor pre-sets.
- Why stress testing models fail.
- Implicit and explicit factor models.
- Stochastic vs. Factor Stress models: pros and cons.
- Evaluating factor models.
Stress Test Database Structure
- Introducing stress test statistics.
- Filtering assets based on stress test statistics.
- Multi-statistic Peer Group Analysis with stress test metrics.
Asset Ranking with Stress Test Statistics
- Introducing Multi-statistic Ranking Framework.
- Comparing multi-statistics for asset ranking.
- Eliminating assets with insignificant factor models.
Integrating Stress Testing with Portfolio Optimization
- Why combining stress testing and optimization in a single framework.
- Basics of factor-based stress testing.
- Stress constraints in optimization models.
Potential Audience
Institutional portfolio managers, hedge FoF and multi-asset portfolio managers, risk managers, CIOs, advanced family offices. endowments.
