Questions tagged [scenario-analysis]
The scenario-analysis tag has no usage guidance.
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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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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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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 ...
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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 ...
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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, ...
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