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Stress Testing

For financial risk professions, the Sep 19 military coup and the Dec 19 Bank of Thailand policy effect provide a good test. They provide good opportunity to scrutinize our risk management system and practice, and will be valuable data for stress testing and scenario building.


source: online.wsj.com

No 1-day 99% VaR estimate would have anticipate such drop, yet it will be interesting how well each methods cope. In following posts, we will examine historical and Monte Carlo VaR calculations, and how they perform in such severe market condition.