Chapter 19: Risk Management
Stress Testing and Reverse Stress Testing for Systematic Portfolios intermediate
Forward stress tests ask how much a named scenario hurts; reverse stress tests ask what smallest plausible scenario breaks the portfolio.
Forward stress tests ask how much a named scenario hurts; reverse stress tests ask what smallest plausible scenario breaks the portfolio.
Register to Read
Sign up for a free account to access all 112 primer topics.
Create Free AccountAlready have an account? Sign in
References
Three Quant Lessons from COVID-19
Alex Lipton, Marcos Lopez de Prado
(2020)
A Quantitative Approach to Historical Stress Tests
Hervé Zumbach, Gilles Zumbach
(2025)
— The Journal of Portfolio Management
Measuring Market Risk in Asset Management
Gian Luca Tassinari, Michele Leonardo Bianchi, Frank J. Fabozzi
(2024)
— The Journal of Portfolio Management