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- W2892795688 abstract "<h3>Practical Applications Summary</h3> In <b>Market-Driven Scenarios: <i>An Approach for Plausible Scenario Construction</i></b>, from the Spring 2018 issue of <b><i>The Journal of Portfolio Management</i></b>, authors <b>Bennett Golub</b>, <b>David Greenberg</b> and <b>Ronald Ratcliffe</b> (all of <b>BlackRock</b>) explain the need for scenario analysis as part of a firm9s overall approach to risk management and describe a framework for conducting rigorous and systematic scenario analysis. A key challenge in applying scenario analysis is constructing tail event scenarios that are severe but plausible. The authors address that challenge by providing a quantitative framework for assessing a scenario9s plausibility by reference to the behavior of observable variables used to define the scenario (e.g., asset prices, bond yields, credit spreads, etc.). Different quantitative implementations of the framework naturally produce somewhat different results, but those differences can themselves offer a vehicle for understanding the dimensions of sensitivity associated with a particular scenario definition. The authors conclude with an illustration of the framework9s application using Brexit as an example. <b>TOPICS:</b>Portfolio theory, risk management, emerging" @default.
- W2892795688 created "2018-10-05" @default.
- W2892795688 date "2018-10-01" @default.
- W2892795688 modified "2023-09-25" @default.
- W2892795688 title "Practical Applications of Market-Driven Scenarios: An Approach for Plausible Scenario Construction" @default.
- W2892795688 doi "https://doi.org/10.3905/pa.6.2.293" @default.
- W2892795688 hasPublicationYear "2018" @default.
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