Reverse Stress Testing

Reverse Stress Testing
The PRMIA Stamford chapter presents "Reverse Stress Testing" based on an award winning paper, 2015 prize for best paper in IIJ.

 

Event Information

Abstract: When dealing with risk one is always on the lookout for possible adverse scenarios. However, there is currently no widely recognized, systematic way to approach the task of adverse scenario generation.

In this talk, based on a prize-winning paper titled “Robust Risk Estimation and Hedging: A Reverse Stress Testing Approach” written by Barry Schachter, Partner & Chief Risk Officer, Light Sky Macro LP and Senior Advisor, RiXtrema Inc., Daniel Satchkov, President, Rixtrema, Arkady Novosylov, Siberian Federal University Krasnoyarsk and Yaacov Kopeliovich, Professor, UConn School of Business, we will offer a systematic way of capturing adverse scenarios.
 

Additional Information

Event Date: January 18th, 2018
Time: 7:00PM EST - 9:00PM EST
Venue:
 University of Connecticut-Stamford
1 University Pl.
Stamford, CT 06901
 

Speakers & Agenda

Marc Groz, PRMIA Stamford Regional Director and Managing Member, Right Risk LLC
Yaacov Kopeliovich, Professor, UConn School of Business

7:00PM - 8:00PM Speaker Presentations
8:00PM - 9:00PM Q&A and Networking Reception

Registration

Member Rates
Sustaining Member - FREE
Contributing Member - FREE
Non-member - $20.00
 
Special Rates
**University of Connecticut Affiliates (staff, students, alumni) - FREE**
**Contact events@prmia.org to redeem your special discount registration rate. 


Thank you,
PRMIA Stamford
When
1/18/2018 7:00 PM - 9:00 PM
Where
University of Connecticut-Stamford 1 University Pl. Stamford, CT 06901 UNITED STATES

Sign In to Register for Event