Abstract
Extreme market moves can negatively impact portfolios in ways which may not be captured by conventional risk measures, making meaningfully assessing portfolio risks challenging.
Portfolio stress-testing helps identify and quantify risks, helping reassure a manager how their portfolio might respond to significant market events or scenarios that reflect particular concerns.
Stress-testing includes a range of approaches, one classification is outlined in the figure (below). Historical events can provide ideas; however, practitioners can imagine many damaging situations for investigation using artificial scenarios.
Portfolio stress-testing helps identify and quantify risks, helping reassure a manager how their portfolio might respond to significant market events or scenarios that reflect particular concerns.
Stress-testing includes a range of approaches, one classification is outlined in the figure (below). Historical events can provide ideas; however, practitioners can imagine many damaging situations for investigation using artificial scenarios.
| Original language | English |
|---|---|
| Pages | 12 |
| Number of pages | 1 |
| No. | 384 |
| Specialist publication | Citywire Wealth Manager |
| Publication status | Published - 2 Feb 2017 |
| Externally published | Yes |
Bibliographical note
Q25ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)