AlephSys

RISK MANAGEMENT: STRESS TESTING

Training objectives and Expertise outcome

 Acquisition of the basic theories of risk monitoring through Stress Testing.

Mastering risk monitoring methodology through Stress Testing

Content details:

Determining the variable state of a portfolio (using the example of a DPI Fund portfolio and an option portfolio on a DPI Fund) 

Determining a portfolio’s risk factors

Determining scenarios of various risk factors

Training in combinatorial matrix of scenarios

Optimization of combinatorial matrix of scenarios depending on the position of the portfolio in Risky Assets

Portfolio valuation according to the optimised combinatorial matrix of the scenarios

Determining the variable state of a portfolio for the worst scenario

Teaching methods:

Presentations

Case studies: Application in the case of a DPI Fund and an option portfolio on a DPI Fund

Practical information

 Training location: At our premises or the Client’s premises

2-day course dates: throughout the year, contact us

Enrolment method:

Minimum number of participants: 7

Maximum number of participants: 11

Cost per participant: Contact us to arrange a costing according to your needs