How time-step stress-testing helped Deutsche navigate Covid

Market risk chief touts importance of repeat stress-testing over point-in-time methods

Stress check

When Covid-19 slammed markets last March, traditional gauges of exposure such as value-at-risk were overwhelmed.

VAR’s limitations as a gauge of tail risk are well known; with most banks using a lookback period of between one and five years to gauge a trading book’s value at risk, the unprecedented one-day falls in some equity and credit markets witnessed as Covid-19 slammed markets meant no model would have been calibrated to cope. Deutsche Bank alone saw 28 VAR exceptions between January and

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options


Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here