Stress Testing in RiskManager: Contemplating a Eurozone Breakup
MSCI cordially invites you to a webinar where we will discuss a framework for the creation of a RiskMetrics RiskManager stress test where no historical references exist for the behavior of risk factors, horizon and risk climate that describe market risks resulting from a Greek default.
Join us for future webinars in a series about stress testing:
- March 8 - Stress Testing: Currency Risk in the Eurozone
- March 20 - Stress Testing Best Practices
Agenda Topics Include:
- Cross-asset risks resulting from a hypothetical Greek default
- Defining a stress test by choosing relevant market variables for predictive shocks
- Results of implementing stressed scenarios on equity and fixed income portfolios
- Technical implementation how-to in Risk Manager 4
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