Portfolio Stress-Testing

Attempting to put meaningful numbers to portfolio risks is always challenging. Conventional risk measures are often considered not to fully capture all risks inherent in a portfolio, particularly under difficult market conditions.

This course provides an introduction to stress-testing a portfolio of conventional assets against market risks including both historical and artificial stress-test scenarios.

Examples are used throughout to illustrate key concepts, so that after the course participants can implement some simple stress-tests on their own portfolios of conventional assets. Focusing on implementation the course does not cover the regulatory aspects of stress-testing.

The estimated time required to complete this course is 3-6 hours.
  • 1A Introduction
  • 1B Introduction
  • 1C Introduction
  • 1D Introduction
  • 1E Introduction
  • 1F Introduction
  • 1G Introduction
  • 2 Historical VaR Stress-Tests
  • 3A Historical Stress-Tests using Event Periods
  • 3B Historical Stress-Tests using Event Periods
  • 3C Historical Stress-Tests using Event Periods
  • 4A Hypothetical: Covariance Matrix Stress-Tests
  • 4B Hypothetical: Covariance Matrix Stress-Tests
  • 4C Hypothetical: Covariance Matrix Stress-Tests
  • 4D Hypothetical: Covariance Matrix Stress-Tests
  • 4E Hypothetical: Covariance Matrix Stress-Tests
  • 5A Hypothetical: Created Event Stress-Tests
  • 5B Hypothetical: Created Event Stress-Tests
  • 5C Hypothetical: Created Event Stress-Tests
  • 6A Summary
  • 6B Summary
  • Portfolio Stress-Testing: Test
  • Portfolio Stress-Testing: Survey
Completion rules
  • All units must be completed
  • Leads to a certification with a duration: Forever