Stress Testing Report: Risk-On, Risk-Off, Risk Up

Please join us for a webinar where we will discuss our recently published research which presents a way to analyze portfolio risk under the RORO regime.

We will provide a case study in RiskManager where we:

•Develop risk settings to model the risk characterictics of RORO periods
•Quantify the RORO effect on risk levels for a multi-asset class portfolio
•Compare the RORO-based stressed risk to other stressed risk measures
•Identify the instruments that are more sensitive to the risk-on, risk-off effect
•Analyze portfolio P&Ls under various stress testing scenarios in a RORO environment