stress testing

CFA Level III
#1

would monte carlo simulation be an acceptable type of stress testing?

#2

this is in regards to the morning session

#3

i hope so!

#4

i think i said semivariance

#5

how would semivariance be a type of stress testing?

#6

factor push

#7

I went with Monte Carlo

#8

i put worst case scenario…

#9

prockets Wrote: ------------------------------------------------------- > factor push ditto

#10

is semi-v a way of looking at asym returns? i thought not cause shouldt it be d-side deviation?

#11

drs Wrote: ------------------------------------------------------- > how would semivariance be a type of stress > testing? i didn’t say i was right :slight_smile:

#12

VROD Wrote: ------------------------------------------------------- > prockets Wrote: > -------------------------------------------------- > ----- > > factor push > > > ditto ditto as well :slight_smile:

#13

ponponpq Wrote: ------------------------------------------------------- > i put worst case scenario… ditto

#14

I also said worst case

#15

is worst case the same as factor push?

#16

if you say push factor instead of factor push, do you think its ok?

#17

“factor push” is correct term technically speaking, but if I would be grading it, I would consider “worst case” as correct answer though or at least as a candidate fro partial credit

#18

Factor push - not sure if they’d accept MC, because that’s a way to measure VaR prior to performing the stress test. You can probably perform the stress test in the MC framework, though.

#19

I think factor push and worst case will both get partial marks - they were probably looking for “stressing models” in general.

#20

i forgot the name for factor push. Decided to go with worst case scenario. Problem is it was ALTERNATIVE for scenarios… but i think it should count too :frowning: