RiskMetrics RiskManager Diagnostics

Please join us for a webinar where we will provide an overview of the methodology behind the new predictive stress test diagnostics available in RiskManager. The presentation will conclude with a demonstration of practical use cases.

The predictive stress test diagnostics allow clients to better understand their predictive stress tests by providing regression and aggregated regression statistics both on a risk factor, position and portfolio level. The top level statistics indicate how appropriate the stress test is to the portfolio, and the drill downs allow diagnosis of the underlying regressions.

In summary, the diagnostics can be used in the design of predictive stress tests more suited to a particular portfolio, and enable clients to gauge how much confidence to place in their predictive stress tests when applied to a portfolio.