The increasing value of stress-testing portfolios

Research output: Contribution to specialist publicationArticle

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.
Original languageEnglish
Pages12
Number of pages1
No.384
Specialist publicationCitywire Wealth Manager
Publication statusPublished - 2 Feb 2017
Externally publishedYes

Bibliographical note

Q25

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)

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