Questions tagged [scenario-analysis]

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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 ...
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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 ...
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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 ...
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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 ...
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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
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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
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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, ...