VaR is not enough to assess market risk of a portfolio. Stress testing is desirable because:

Question

(i) It helps in calibrating VaR module(ii) It helps as an additional risk measure(iii) It helps in assessing risk due to abnormal movement of market parameters(iv) It is used as VaR measure is not accurate enough

Vinod Jetley · Answer

(iii) It helps in assessing risk due to abnormal movement of market parameters

VENKITARAMAN KRISHNA MOORTHY VRINDAVAN · Answer

Answer option (iii) >>>>>>>>>>>>> It helps in assessing risk due to abnormal movement of market parameters.

Wolf Klaas Kinsbergen · Answer

If I understand what VaR is it would be3 (iii)

Mohammed Salim Allana · Answer

Agreed with Market Risk Champs!

Saiful Islam Hiron · Answer

Option III will be best answer.

Elke Woofter · Answer

Thank you for explaining this giving us the correct answer Mr. Vinod Jetley

for me Stress testing (sometimes called torture testing) means it is a form of deliberately intense or thorough testing used to determine the stability of a given system or entity.

Mukesh Varadhan · Answer

Thanks of the invite. But I can't provide better answer than you.

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VaR is not enough to assess market risk of a portfolio. Stress testing is desirable because:

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