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FX spot and options Stress Testing
Hi would anyone have a model/papers on stress testing of FX spot and options under three guises: 1. Historical stres tests 2. Synthetic stress tests 3. forward looking stress tests.I have some ideas, but need a framework to put in place. so any assistance would be greatly appreciated.Thank youWarrior
Last edited by Warrior on August 10th, 2004, 10:00 pm, edited 1 time in total.
FX spot and options Stress Testing
what do you want to "Stress-test" for ? (whats the objective ?)