Scenario-Driven Adaptation to Emergent Risks

IF 1.1 4区经济学 Q3 BUSINESS, FINANCE

Journal of Portfolio Management Pub Date : 2022-09-07 DOI:10.3905/jpm.2022.1.419

Julian N. Abdey, J. Franz, W. Phoa

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.

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情景驱动的紧急风险适应

为了适应未建模的风险，投资管理流程需要包含连续场景分析的规程。作者描述了这样一个规程的基本元素:关键的组织和操作原则，场景构建过程，场景的定量规范，以及对项目组合管理的应用。他们用最近的几个案例来说明:COVID-19大流行、2021-2022年全球通货膨胀激增以及2022年俄罗斯入侵乌克兰。他们还列出了场景分析的一些潜在缺陷。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Portfolio Management Economics, Econometrics and Finance-Finance

CiteScore

2.20

自引率

28.60%

发文量

113

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.