Modeling Volatility: A Study of APT Risk Models' Performance Amidst Extraordinary Market Turmoil

It’s no secret that volatility sharply increased towards the latter end of 2008, producing significant systematic risk. How did your risk models handle 2008’s highest highs and more extreme lows? 

Watch Dr. Laurence Wormald, Head of Research at SunGard APT, as he examines:

  • Are your risk models capturing accurate market information, in the face of volatility?
  • Performance in terms of robustness and responsiveness of APT’s risk models (both STV and MTV)
  • Extent of responsiveness to market events, with risk forecasts increasing markedly
  • What measures best provide robust forecasts of portfolio risk?


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