Advanced search
Publication Cover
Financial Analysts Journal Volume 68, 2012 - Issue 2
Submit an article Journal homepage
102
Views
0
CrossRef citations to date
0
Altmetric
Portfolio Management

Allocating Assets in Climates of Extreme Risk: A New Paradigm for Stress Testing Portfolios

Stacy L. Cuffe Stacy L. Cuffe is a senior associate at MSCI, Boston.
&
Lisa R. Goldberg Lisa R. Goldberg is executive director of applied research at MSCI, Berkeley.
Pages 85-107 | Published online: 30 Dec 2018

References

  • Baele, L., G. Bekaert, and K. Inghelbrecht. 2010. “The Determinants of Stock and Bond Return Comovements.” Review of Financial Studies, vol. 23, no. 6 (June): 2374–242810.1093/rfs/hhq014.
  • Bender, J., J. Lee, and D. Stefek. 2010a. “Manipulating Correlations through Latent Drivers.” MSCI Barra Research Insights (May).
  • Bender, J., J. Lee, and D. Stefek. 2010b. “Constraining Shortfall.” MSCI Barra Research Insights (April).
  • Bhansali, V., and M.B. Wise. 2001. “Forecasting Portfolio Risk in Normal and Stressed Markets.” Journal of Risk, vol. 4, no. 1 (Fall): 91–106.
  • Black, F., and R. Litterman. 1992. “Global Portfolio Optimization.” Financial Analysts Journal, vol. 48, no. 5 (September/October): 28–4310.2469/faj.v48.n5.28.
  • Davis, B., and J. Menchero. 2010. “Risk Contribution Is Exposure Times Volatility Times Correlation: Decomposing Risk Using the X-Sigma-Rho Formula.” MSCI Barra Research Insights (January).
  • Dubikovsky, V., M.Y. Hayes, L.R. Goldberg, and Ming Liu. 2010. “Forecasting Extreme Risk of Equity Portfolios with Fundamental Factors.” Lessons from the Financial Crisis Edited by Arthur Berd.London: RiskBooks.
  • Goldberg, L.R., M.Y. Hayes, and O. Mahmoud. 2011. “Minimizing Shortfall.” MSCI Research Insights (January).
  • Goldberg, L.R., G. Miller, and J. Weinstein. 2008. “Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons.” Journal of Investment Management, vol. 6, no. 2 (Second Quarter): 73–98.
  • Kupiec, P.H.. 1998. “Stress Testing in a Value at Risk Framework.” Journal of Derivatives, vol. 6, no. 1 (Fall): 7–2410.3905/jod.1998.408008.
  • Meucci, A.. 2008a. “Fully Flexible Views: Theory and Practice.” Risk, vol. 21, no. 10 (October): 97–102.
  • Meucci, A.. 2008b. “The Black–Litterman Approach: Original Models and Extensions.” Working paper (1 August).
  • Mina, J., and J. Xiao. 2001. Return to RiskMetrics: The Evolution of a Standard. New York: RiskMetrics Group.
  • Rebonato, R., and P. Jäckel. 2000. “The Most General Methodology for Creating a Valid Correlation Matrix for Risk Management and Option Pricing Purposes.” Journal of Risk, vol. 2, no. 2 (Winter): 17–27.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.