We describe an innovative portfolio-construction workflow that takes its return expectations directly from the results of a stress test.
In this paper, we took the stress-testing process one step further and showed how the resulting contributions to expected loss could be used as inputs to construct portfolios for each specific stress scenario. Using the process described, investors can also construct candidate portfolios representing a hedge for each scenario and include the target portfolio in their risk management process during rebalancing.
Download Our Whitepaper
Related Insights
Press Releases
STOXX Wins Multi-Billion Landmark Deal With Four German Pension Funds For Sustainable, Climate-Friendly Global Index Solutions
Learn More
Fixed Income Charts
Is Equity-Credit Diversification Vanishing?
Explore the Chart
Whitepapers
Tech-oriented Thematic Indices through a Factor Lens
Download