RT Journal Article
SR Electronic
T1 Scenario-Driven Adaptation to Emergent Risks
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP jpm.2022.1.419
DO 10.3905/jpm.2022.1.419
A1 Julian N. Abdey
A1 Jared S. Franz
A1 Wesley K. Phoa
YR 2022
UL https://pm-research.com/content/early/2022/09/07/jpm.2022.1.419.abstract
AB 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.