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stressed-var

  1. Nicole Seaman

    P2.T7.20.9. Solvency, liquidity and other regulation after the global financial crisis (1of 2)

    Learning objectives: Describe and calculate the stressed VaR introduced in Basel 2.5 and calculate the market risk capital charge. Explain the process of calculating the incremental risk capital charge for positions held in a bank’s trading book. Describe the comprehensive risk (CR) capital...
  2. Nicole Seaman

    P1.T4.802. Stress Testing and Other Risk Management Tools (Siddique)

    Learning objectives: Describe the relationship between stress testing and other risk measures, particularly in enterprise-wide stress testing. Describe the various approaches to using VaR models in stress tests. Explain the importance of stressed inputs and their importance in stressed VaR...
  3. Nicole Seaman

    P2.T7.520. Basel 2.5 with stressed VaR, IRC and CRM (Hull)

    Learning outcomes: Describe and calculate the stressed value-at-risk measure introduced in Basel 2.5, and calculate the market risk capital charge. Explain the process of calculating the incremental risk capital charge for positions held in a bank’s trading book. Describe the comprehensive risk...
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