anyone get that one? i made something up but it wasnt correct
Yeah, I said something like “worst case scenario”! I remember something about that in the text but I don’t recall what the official name of the stress test was. I also couldn’t remember the different stress tests vs. stylized scenarios. This was one of those “list” questions where you either knew the list or didn’t. I justified the answer but I’m certainly not confident about it.
I wrote something like “Factor Push Analysis”.
I went with maximum loss optimization. I remember that from somewhere, or maybe I just pulled it out of my rectum.
Maximum loss optimization: identifying what factors can most affect your portfolio and moving to protect yourself against those factors. The other 2 options would have been: factor push worst-case
Cool! I was right!
nice, i also had worst case scenario.
I went for the old maximum loss optimisation and said that identifying the factors with most potential to cause losses would inform hedging decisions.
I think I wrote Factor push and my explaination was about worst case scenario. I think I hedged and I hope to get some risk free return mabe 1/2 the points
I wrote worst-case scenario but my explanation sounds suspiciously like maximum loss optimization.
cant remember this one…but i think i put down monte carlo simulation that allows modelling cfs and not dependent on normal distribution…guess i was wrong…another 3 points gone!
Factor push and explained worst case… Hedging my bets
Factor Push … easy to explain trying to play it safe.
It seems as if they were just asking for another test though. I chose Monte Carlo and gave a reasoning as dynamic vs static testing.
I think they were after “stressing models” which encompasses worst case scenario and factor push. Wasn’t the question something to the effect as what are alternatives to stylized scenario’s?
I reckon u r all wrong…sorry…they asked for an alternative to stylised scenarios…Stress Testing is broken down into A. Scenario Analysis (1. Stylised Scenarios 2. Hypothetical events 3. Actual extreme events) and B. Stressing models (1. Factor Push Analysis 2. Worst Case Scenario 3. Max Loss Optimisation) Therefore the question in my view was indicating that the answer should be Hypothetical events or Actual extreme events. Thoughts?
I’m with you on that, Apollo. However, on the exam I actually wrote “historical crises” when I meant “actual extreme events”. Wonder if they’ll credit that…