This book presents a crisis scenario generator with black swans, black butterflies and worst case scenarios. It is the most useful scenario generator that can be used to manage assets in a crisis-prone period, offering more reliable values for Value at Risk (VaR), Conditional Value at Risk (CVaR) and Tail Value at Risk (TVaR).
Hazardous Forecasts and Crisis Scenario Generator questions how to manage assets when crisis probability increases, enabling you to adopt a process for using generators in order to be well prepared for handling crises.
- Evaluates risk-oriented philosophy, forecast risk-oriented philosophy and its processes
- Features scenario-building processes, with an emphasis on main and extreme scenarios
- Discusses asset management processes using a generator methodology to avoid risk understatement and increase optimization.
Graduate students in master's or Ph.D. programs and practitioners in finance/banking; bankers and risk managers involved in capital allocation and portfolio management
- 1: Risk-oriented Philosophy, Forecast-based Philosophy and Process
- 1.1 A risk-oriented philosophy and a forecast-based philosophy
- 1.2 Rational expectations theory and the efficient market hypothesis
- 1.3 Irrational crisis behaviors make previous expectation hypotheses dangerous
- 1.4 How large is the rational hypothesis validity field?
- 1.5 Conclusion
- 2: Scenario Building Processes
- 2.1 Most asset managers have only one or two scenarios in mind
- 2.2 Long-term scenarios and geopolitical surprises
- 2.3 Five-year scenarios
- 2.4 An efficient five-year scenario generator
- 2.5 Details on several scenarios
- 2.6 An efficient one-year scenario generator
- 3: How to Use These Scenarios for Asset Management?
- 3.1 Philosophy of equity portfolio optimization
- 3.2 Which classic optimization processes are well fitted?
- 3.3 Risk aversion and utility function
- 3.4 Better fit processes for a crisis
- 3.5 Crisis process for equity portfolio optimization
- 3.6 Resilient bond portfolio building
- 3.7 Application
- 3.8 Conclusion
- A.1 Appendix
- A.2 Growth rates
- No. of pages:
- © ISTE Press - Elsevier 2016
- 25th September 2015
- ISTE Press - Elsevier
- eBook ISBN:
- Hardcover ISBN:
Director and Manager of Diamant Bleu LFP Growth and Resilience, Paris, France
Actuary Associate, Institute of Actuaries