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Stress Testing & Scenario Analysis Of Global Multi-Asset Portfolios

THE PROBLEM

To understand the effect of changes to risk factor(s) and/or the impact of historical stress event(s) for Global Multi-asset portfolios in ‘real-time’. 

Why? 
For additional actionable insights and portfolio transparency to gain increased investor confidence. 

SOLUTION

Perform ‘stress-testing’ and ‘Historical Scenario Analysis’. Key among them are –

‘Sensitivity Analysis’ – Shocked Value of a limited set of risk factors affecting the portfolio (Interest Rates, FX, Yield Curve, etc.)

‘Hypothetical Scenarios’ – Shocking a larger set of risk factors together. e.g.: A scenario that includes shock of YC up 5%, FX of USDGBP down 2%, Spread down 2%.

‘Historical Stress Scenario’ – Calculate change in value of the current portfolio to a historical stress event (such as 2017 financial Crisis, COVID-19 event, etc). 

‘Historical Scenario VaR’ – VaR Calculation of current positions for a specific past historical date.

Variance-Covariance, Historical Simulation and Monte-Carlo are key scenario analysis techniques.

WHAT NEXT?

A ‘real-time’ BI dashboard that brings all of the above data and other risk/performance analytics will enable PM to analyze results and get actionable insights. 

 

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