# Questions tagged [scenario-analysis]

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### How can this problem be defined formally?

Let's consider a straightforward example in which I possess a portfolio consisting of two stocks: $R(t) = S_{1}(t) \cdot x_1 + S_{2}(t) \cdot x_2,$ Here, $t$ represents the time index, $R(t)$ ...
• 171
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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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