Risk Modeling Ahead of an Election: How to Think of Tail Risk When Markets Are Changing
Bloomberg is introducing Filtered Historical Simulation (FHS) into its MARS Market Risk System. FHS responds quickly to volatility regime changes while capturing tail risk in line with historical precedent.
Join this webinar to learn:
- What kind of volatility regime are we entering?
- Responsiveness of different risk methodologies when market conditions change.
- Filtered Historical Simulation: combining strong responsiveness to market changes with tail risk modeling.
- Stress testing as a complement to simulation models when we know what we are worried about.
- Modeling macroeconomic events with predictive stress testing.
We will illustrate with a particular case study focusing on the upcoming US election.
Join this webinar to learn:
- What kind of volatility regime are we entering?
- Responsiveness of different risk methodologies when market conditions change.
- Filtered Historical Simulation: combining strong responsiveness to market changes with tail risk modeling.
- Stress testing as a complement to simulation models when we know what we are worried about.
- Modeling macroeconomic events with predictive stress testing.
We will illustrate with a particular case study focusing on the upcoming US election.