Dr. Laurence Wormald, Head of Research at SunGard APT, presents research and insights on the reverse stress-testing approach that enables firms to identify worst case scenarios for their portfolios. He explains how this approach complements your regular stress testing and scenario analysis regime.
It is essential that firms identify which scenarios would lead to the worst losses and use this information to become better investors.
Learn more about:
How can reverse stress testing help me understand investment risk better?
Under what circumstances will my performance be worst?
What characterizes the behavior of factors in the loss tail of the distribution?
Do certain factors come more to the fore as we explore the loss tail of the distribution?
Back-test results illustrating many of the theoretical issues discussed in the webinar
View the recording of this webinar to learn about the APT approach to Reverse Stress Testing and find out which factors dominate portfolio behavior in the worst-case outcomes.
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