GRI Research Workshop
Stress: Integrating Economics Scenarios with Risk Simulations
Scenarios are the language of Risk. While scenario analysis and stress testing have been an explicit part of risk management methodologies and systems for over two decades, the typical scenario and stress testing tools haven’t evolved much and are still generally quite static and largely subjective. In this talk, we present a simple and powerful approach to create meaningful stress scenarios for risk management and investment analysis of multi-asset portfolios, which effectively combines economic forecasts and “expert” views with portfolio simulation methods.
Professor David Saunders,
University of Waterloo
Professor Saunders teaches in the Mathematics department at the University of Waterloo and has served as a consultant for many financial institutions. Recently, Professor Saunders has become interested in problems in credit risk management, as well as the application of analytical techniques to problems in optimal stopping.
Who Should Attend:
This is a workshop providing indepth look at risk scenarios and is ideal for anyone in the director or manager level of risk management in the financial sector.