Hazardous forecasts and crisis scenario generator /

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) an...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Cl�ement-Grandcourt, Arnaud (Autor), Fraysse, Herv�e (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: London : Kidlington, Oxford : ISTE Press Ltd ; Elsevier Inc, 2015.
Temas:
Economic forecasting.
International finance > Forecasting.
Globalization > Economic aspects.
Pr�evision �economique.
Mondialisation.
globalism.
BUSINESS & ECONOMICS > Economics > General.
BUSINESS & ECONOMICS > Reference.
Economic forecasting
Globalization > Economic aspects
International finance > Forecasting
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Ch. 1 Risk-oriented Philosophy, Forecast-based Philosophy and Process
  • 1.1.A risk-oriented philosophy and a forecast-based philosophy
  • 1.1.1. Why a risk-oriented philosophy?
  • 1.1.2. Management by crisis is the philosophy of global capitalism
  • 1.1.3.A forecast-based philosophy and risk evaluation processes
  • 1.1.4. One-year scenarios and leading indicators
  • 1.1.5. Forecasting ability is limited by exogenous shock risks
  • 1.1.6. The necessity of scenario building
  • 1.1.7. The importance of crisis propagation scenarios
  • 1.2. Rational expectations theory and the efficient market hypothesis
  • 1.2.1. Rational expectations hypothesis and geopolitical risks
  • 1.2.2. Imperfect knowledge and forecasts imply surprises
  • 1.2.3. Rational expectations hypothesis and imperfect forecasts in a crisis-prone period
  • 1.2.4. How could the homo economicus be rational with media advice as the only information?
  • 1.3. Irrational crisis behaviors make previous expectation hypotheses dangerous
  • 1.3.1. Irrational crisis behavior and fear
  • 1.3.2. Irrational crisis behavior and bubbles
  • 1.3.3. Irrational crisis behaviors and mimesis
  • 1.3.4. Irrational crisis behavior and illiquid markets with mimesis and some fears
  • 1.3.5. Market efficiency is not easy to study during a crisis
  • 1.3.6. Economic scenario generates can take care of rational and irrational behaviors with some fears and mimesis in a crisis-prone period
  • 1.4. How large is the rational hypothesis validity field?
  • 1.4.1. US mutual fund record and rational hypothesis validity field
  • 1.4.2. To judge the rational hypothesis validity field is complex
  • 1.5. Conclusion
  • ch. 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
  • 2.2.1. Climate change scenarios and surprises
  • 2.2.2. Climate changes and migrations
  • 2.2.3. Geopolitical scenarios and surprises
  • 2.2.4. Long-term demographic impact
  • 2.2.5. Economic emergence of the African continent
  • 2.2.6. Long-term risk valuation methods
  • 2.3. Five-year scenarios
  • 2.3.1. Many five-year crisis scenarios are possible in Europe
  • 2.3.2. Some kinds of Japanese deflationary processes
  • 2.3.3. Different kinds of deflationary processes in Europe
  • 2.3.4. Different kinds of systemic banking crisis processes
  • 2.4. An efficient five-year scenario generator
  • 2.4.1.Combination of two 5-year generators
  • 2.4.2. Specific treatment of a social crisis scenario
  • 2.5. Details on several scenarios
  • 2.5.1. Scenarios for the Eurozone
  • 2.5.2. Scenarios for English-speaking countries
  • 2.5.3. Scenarios for Asia
  • 2.6. An efficient one-year scenario generator
  • 2.6.1. One-year generator for negative scenarios
  • 2.6.2. One-year generator for positive scenarios
  • 2.6.3. Other issues
  • ch. 3 How to Use These Scenarios for Asset Management?
  • 3.1. Philosophy of equity portfolio optimization
  • 3.1.1. Optimization and risk-oriented philosophy
  • 3.1.2. How and how frequently should we use an economic scenario generator?
  • 3.1.3. Economic scenario generator for a crisis-prone period
  • 3.2. Which classic optimization processes are well fitted?
  • 3.2.1. Capital asset pricing model
  • 3.2.2. Screening or optimization by arbitrage pricing theory
  • 3.2.3. Black
  • Litterman (1992) for more stable results
  • 3.2.4. Optimization based on benchmarks
  • 3.2.5. Active management methodology
  • 3.3. Risk aversion and utility function
  • 3.3.1. Which risk measures for utility optimization?
  • 3.3.2. Optimization with classic or not so classic measures of risk
  • 3.3.3. Is a polynomial utility an improvement?
  • 3.4. Better fit processes for a crisis
  • 3.4.1. Markov regime switching optimization best fit for a crisis
  • 3.4.2. What could be said about the cost when the method is changed?
  • 3.4.3. Risk diversification: risk parity or risk budgeting?
  • 3.4.4. Minimum variance policy
  • 3.4.5. Resilient equity portfolio construction with same weight stock allocation
  • 3.5. Crisis process for equity portfolio optimization
  • 3.5.1. What kind of generator to optimize?
  • 3.5.2. Optimization with risk budgets for crisis resilience control
  • 3.5.3. Insightful comparisons between optimized portfolios
  • 3.5.4. ESG and stock management
  • 3.6. Resilient bond portfolio building
  • 3.6.1. How could a rate trend turn around?
  • 3.6.2.A protective bond management
  • 3.6.3. ESG and bond management
  • 3.7. Application
  • 3.8. Conclusion.

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