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- Title
Scenario-Driven Adaptation to Emergent Risks.
- Authors
Abdey, Julian N.; Franz, Jared S.; Phoa, Wesley K.
- Abstract
In order to be resilient to unmodeled risks, an investment management process needs to incorporate a discipline of continuous scenario analysis. The authors describe the essential elements of such a discipline: key organizational and operating principles, the scenario building process, quantitative specification of scenarios, and application to portfolio management. They illustrate with several recent case studies: the COVID-19 pandemic, the 2021-2022 surge in global inflation, and the 2022 Russian invasion of Ukraine. They also list some potential pitfalls of scenario analysis.
- Publication
Journal of Portfolio Management, 2022, Vol 48, Issue 10, p258
- ISSN
0095-4918
- Publication type
Academic Journal
- DOI
10.3905/jpm.2022.1.419