Questions tagged [scenario-analysis]
The scenario-analysis tag has no usage guidance.
7
questions
2
votes
2answers
86 views
How to add the effect of skewness in the portfolio optimisation objective function?
I have the following risk adjusted portfolio which I optimise,
where gamma is the risk return trade off, $r$ are the returns and $C$ is the covariance matrix which considers scenarios, so it is not ...
0
votes
0answers
18 views
scenario-specific covariance matrices for minimum regret portolio allocation
I am trying to follow the paper here https://www.wiwi.uni-siegen.de/banken/dokumente/2._szenariobasierte_aa_englisch.pdf and implement the minimum regret approach. In particular, the decision under ...
0
votes
0answers
35 views
Calculating portfolio sensitivity to macroeconomic shocks
I am interested in modeling the sensitivity of an equity portfolio's value to hypothetical shocks to the real economy, captured by real GDP and inflation. I would want to see what the corresponding ...
0
votes
0answers
69 views
Scenario Analysis - Real life application
Given a portfolio consists of Stock = usd 40, Bond = usd 40, commodity =usd 20.
Also given the correlation between these assets.
Scenario 1 : stock down by 30%
When performing scenario analysis, do ...
0
votes
1answer
131 views
Scenario generation for Value at risk: How to interpret the scenarios
This is a a simple and rather pratical approach and not theoretical. Let's assumes I have generated 250 scenarios for a given fixed portfolio. Hence we assume that the asset returns can result in 250 ...
4
votes
2answers
95 views
Approach to add scenarios to OpRisk loss distribution
There is quite a lot of literature on OpRisk modelling. My question focuses on a loss distribution approach (LDA).
Let's look at a basic model. A Poisson-distributed $N$ and loss sizes $X_i$ and from ...
1
vote
1answer
87 views
Commercial providers of scenario analysis and modeling
What are the major commercial providers that specialize in modeling the impact of specific global events on asset class performance?
I'm familiar with Oxford Economics' Global Scenario Service, ...
