Stress-testing P1’s models and helping clients appreciate risk

Research output: Contribution to specialist publicationArticle

Abstract

Assessing portfolio risks is never straightforward, and extreme asset moves can negatively impact portfolios in ways which may not be captured by conventional risk measures. If diversification breaks down portfolio values may not be protected. Stress-testing can be used to estimate portfolio impacts, typically looking at historical market events or artificial scenarios. The pros and cons of these approaches were previously discussed. This article summarises the results of historical stress-testing applied to P1’s Hybrid model portfolios at
the end of March 2017. Stress-testing is periodically carried out on P1’s models, and further testing has been carried out since then; however, the March 2017 results can now be released.
Original languageEnglish
Number of pages4
Specialist publicationDISCUS (Discretionary Investment Services Coming Under Scrutiny) platform article
Publication statusPublished - 18 Oct 2018
Externally publishedYes

Bibliographical note

Q77

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)

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