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  #71  
Old 01-25-2009, 11:30 AM
zhang_197x zhang_197x is offline
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Hi Guys, in my T4 task, it ask me "Which of th base assumption values do you feel are most questionable, and how does your answer to this question affect the amount of attention you might give this assumption in stress testing?" What is the meaning of the later part? "and how does your answer to this question affect the amount of attention you might give this assumption in stress testing?"
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  #72  
Old 01-25-2009, 11:42 AM
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Patrickp Patrickp is offline
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if assumptions are questionnable , how useful is the information provided to you in the sensitivity test analysis.
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  #73  
Old 01-25-2009, 11:05 PM
Tan Tan is offline
 
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I have a couple of questions regarding task 4.

1. Is yield for investing a non-sensitive assumption? I can't find rate that gives %end<0 more than zero.
2. What are critical assumptions? For me, it looks like cost of borrowing and inflation. Or these assumptions are questionable?
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  #74  
Old 01-26-2009, 12:12 AM
actmath actmath is offline
 
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My sensitivity analysis showed that inflation, investing and borrowing rates were not that critical to projections. Energy cost and labor costs proved to have the biggest impact.
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  #75  
Old 01-26-2009, 12:20 AM
Tan Tan is offline
 
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Thanks Actmath.
But what about yield for investing. Did you find viable range for that rate?
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  #76  
Old 01-26-2009, 02:52 AM
zhang_197x zhang_197x is offline
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Hi Guys,
In my Task 4, i find the exchange rate, investment yield, energy cost and labour cost are critical assumption. on the other hand, the inflation rate is not critical? i feel so wired. normally, the inflation rate affect the investment field. what should I do? in Task 6, we need to analysis the experience, need i naalyse the inflation rate or Energy cost?
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  #77  
Old 01-26-2009, 09:35 AM
actmath actmath is offline
 
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Quote:
Originally Posted by Tan View Post
Thanks Actmath.
But what about yield for investing. Did you find viable range for that rate?
The investment yield has little impact on my data. I can decrease it 80% (just shy of being zero) and my VaR(95) remains positive with only 1/50 simulations resulting in a negative cash flow.

Are you varying any assumptions simultaneously?
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  #78  
Old 01-26-2009, 11:32 AM
Tan Tan is offline
 
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I varied simultaneously labor1 a and labor2 a, labor1 b and labor2 b, energy1 and energy2, exchange rate and inflation rate (decreased these assumptions simultaneously - not sure that this is right).
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