标题: Stress testing vs. Scenerio analysis [打印本页] 作者: ASSet_MANagemen 时间: 2011-7-13 17:15 标题: Stress testing vs. Scenerio analysis
Hey all,
Would anyone be able to shed some light on key distinctions between the two? I understand stress testing is a form of scenario analysis, but is it just an exaggerated scenario analysis? I just asked a charter holder at work and he said "it's when you kick the variables up to 11." Sufficient answer?作者: skycfa 时间: 2011-7-13 17:15
lol no charter holder is specific enough
scenario testing is akin to saying what if war break out in the Saudi Arabia ( for example ) how will variables change and it affect the model/portfolio
stress testing is just moving the price of oil to various extremes to see the effect on the model/portfolio作者: thommo77 时间: 2011-7-13 17:15
broad definition = scenario testing only changes one variable and holds all others constant, so it is simple to do but it is unrealistic because it doesnt measure what would happen if more than one variable changed
stress testing is moving all variables and analyzing what would happen
note there are three types of each (reading 40)作者: dyga 时间: 2011-7-13 17:15
mcap11
scenario testing involves one or multi variableS?
i say multi u say one ..........can someone clear this up plz
other than that i agree with the rest of what u said作者: lcw77 时间: 2011-7-13 17:15
Scenario is multiple (i.e. whole scenario changes). Stess is one.作者: oneboy 时间: 2011-7-13 17:15
if scenario=sensitivity analysis, then one variable is manipulated, not sure about the nomenclature作者: PalacioHill 时间: 2011-7-13 17:15
I dont think scenario equals sensitivity. (however, i do think i was mixing up sensitivity with "stress test" in my earlier comment.) Scenario changes multiple variables, Sensitivity is one. Both are types of stress tests.作者: mik82 时间: 2011-7-13 17:15
pimpineasy Wrote:
-------------------------------------------------------
> mcap11
>
> scenario testing involves one or multi variableS?
>
> i say multi u say one ..........can someone clear
> this up plz
>
> other than that i agree with the rest of what u
> said
Both scenario and stressing models can involve multiple variables -
major point (when using multiple variables) is that scenario applies shocks sequentially whereas stressing models apply them simultaneously...作者: susana 时间: 2011-7-13 17:15
I think thats the best explanation if its correct作者: IAmNeil 时间: 2011-7-13 17:15
Stress Testing is normally employed as a complement to VAR, it measures the impacts of unusual events that may not be reflected in your typical VAR calculation. There are two forms of stress testing, Scenario analysis and Stressing models作者: Zestt 时间: 2011-7-13 17:15
Thanks guys,
I think I have the gist, though I sense some uncertainty amongst the group as well.
happy studying作者: skycfa 时间: 2011-7-13 17:16
According to what I understand the major difference is:
Scenario Analysis: How a portfolio will perform, given various changes, during a SPECIFIC period of time
Stress testing: How a portfolio will perform, given various changes, during a FINANCIAL CRISIS or MAJOR DISASTERS
