Stress testing in Excel

[ChrisN]

Hi guys (and gals),

What does stress testing of pricing functions means? And how can you do that in Excel?

 

[ChrisN]

Also, how would you test if a model is fit for purpose? What are the criteria?

For example, if a specific mathematical model is used for coupon payment and bond pricing, how would you test if it is fit for purpose?

 

[Tsotne]

I'll send you one excel template for Stress testing when I get home. Are you applying it in VAR? It'd be better if you didn't use excel for it. Since there can be MC simulations requiring to process large amount of data. Excel is not that flexible than customized software for it.

 

[ChrisN]

For now it will be just Bond pricing. Please do send me the template, it would be really helpful. What would be the ideal software to use for large amount of data?

 

[Tsotne]

For now it will be just Bond pricing. Please do send me the template, it would be really helpful. What would be the ideal software to use for large amount of data?

Yes sure write me an e-mail in private conversation. I have learned some stress testing models in VAR and have come across some Excel templates for stress simulations. As for ideal software, I don't know if there exists such software focusing on stress-testing, what I meant in customized software was creating your own software in C++ for example which makes it by far flexible than excel if you are using such methods frequently rather than to struggle cell-by-cell in excel.

Edit:
http://www.younginc.com/stress/#HELOC
But before, this might be interesting for you. They are quite expensive though. I just outlined that some guys out there are working to create particular stress testing models for various scenarios in Excel.
@ChrisN

 

[Tsotne]

@ChrisN

Just sent you an e-mail.

 

[ChrisN]

Thank you very much for that Tsotne... Loads of information and I need to go through the whole thing.

Thanks again,
Chris.

 

[bhavnarpj]

Thank you very much for that Tsotne... Loads of information and I need to go through the whole thing.

Thanks again,
Chris.

Hi Chris/ Tsotne,

Please can you share the same details with me too?

Thanks,
Bhavna

 

[Tsotne]

Yes sure. Write your mail

 

[YLH]

Yes sure. Write your mail

Hi Tstone,

I have come across this thread and would you mind sending me the templates as well? I am a newbie and I have been struggling with stress testing using excel based. Thanks

 

[Andy Le]

Yes sure. Write your mail

Hi Tsotne, can I please get a copy to? My email is andyle_@Hotmail.com

 

[Ken Abbott]

Read this first to get background:
http://www.occ.gov/news-issuances/bulletins/2011/bulletin-2011-12a.pdf

 

[Ria R]

Hi Tsotne,
Am trying to build a model on stress testing VaR on Currency portfolio using excel. if you could share the stress testing templates, it would be really helpful.

My Email Id: muskaanp@rediffmail.com

Thanks in Advance.

Regards,
Ria R

 

[Tsotne]

Sorry for being so late. I havent been entered the site for very long.

 

[Ria R]

Hi,
That's ok.. can u kindly mail me the templates.
Thanks

 

[YLH]

Sorry for being so late. I havent been entered the site for very long.

It's ok. I have sent you my personal email thru personal message.

 

[NataliyaSaldina]

Hi Tsotne,
could you please share the files you talked about in "Stress testing in Excel" thread.

My e-mail: nsaldina@gmail.com

Thank you

 

[tagoma]

Hi all.

I just read this thread.

I am curious to have a look at the spreadsheet you talk about above, Tsotne.
Would you be kind to send it out to me?

Best,
Édouard

 

[Jakubo]

Hi Tsone and Edouard,

could you please share the files you talked about?
I sent you an e-mail in private conversation.

All the best,

Jakub

 

[Sul]

Hi Tsone and Edouard,

could you please share the files you talked about?
I sent you an e-mail in private conversation.

All the best,

Jakub