Research and publications
The ERI Stress Testing Tool: A Coherent Approach to Stress Testing
Risk management, prudential macro- and micro-regulation, portfolio allocation and, in general, the strategic analysis of financial and economic outcomes share the common unstated assumption that th ...
Author(s):
Riccardo Rebonato
Summary:
Risk management, prudential macro- and micro-regulation, portfolio allocation and, in general, the strategic analysis of financial and economic outcomes share the common unstated assumption that the past conveys useful statistical information about the future. Indeed, a large part of contemporary finance rests on modern portfolio theory, which in turn places the statistically-determined vector of asset expected returns and their covariance matrix at centre stage.
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Register/Log in| Type : | Working paper |
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| Date : | 01/09/2017 |
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