{"title":"Scenario-Driven Adaptation to Emergent Risks","authors":"Julian N. Abdey, J. Franz, W. Phoa","doi":"10.3905/jpm.2022.1.419","DOIUrl":null,"url":null,"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.","PeriodicalId":53670,"journal":{"name":"Journal of Portfolio Management","volume":"48 1","pages":"258 - 275"},"PeriodicalIF":1.1000,"publicationDate":"2022-09-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Portfolio Management","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.3905/jpm.2022.1.419","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
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.
期刊介绍：
Founded by Peter Bernstein in 1974, The Journal of Portfolio Management (JPM) is the definitive source of thought-provoking analysis and practical techniques in institutional investing. It offers cutting-edge research on asset allocation, performance measurement, market trends, risk management, portfolio optimization, and more. Each quarterly issue of JPM features articles by the most renowned researchers and practitioners—including Nobel laureates—whose works define modern portfolio theory.
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