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The Journal of Portfolio Management

The Journal of Portfolio Management

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Article

Market-Driven Scenarios: An Approach for Plausible Scenario Construction

Bennett Golub, David Greenberg and Ronald Ratcliffe
The Journal of Portfolio Management Spring 2018, jpm.2018.1.079; DOI: https://doi.org/10.3905/jpm.2018.1.079
Bennett Golub
is the Chief Risk Officer of BlackRock, Inc. in New York, NY. bennett.golub@blackrock.com
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David Greenberg
is a managing director at BlackRock, Inc. in New York, NY. david.greenberg@blackrock.com
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Ronald Ratcliffe
is a managing director at BlackRock, Inc. in San Francisco, CA. ronald.ratcliffe@blackrock.com
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Article Information

jpm.2018.1.079
DOI 
https://doi.org/10.3905/jpm.2018.1.079

Published By 
Pageant Media Ltd
Print ISSN 
0095-4918
Online ISSN 
2168-8656
History 
  • Published online April 5, 2018.

Copyright & Usage 
© 2018 Pageant Media Ltd

Author Information

  1. Bennett Golub
    1. is the Chief Risk Officer of BlackRock, Inc. in New York, NY. (bennett.golub{at}blackrock.com)
  2. David Greenberg
    1. is a managing director at BlackRock, Inc. in New York, NY. (david.greenberg{at}blackrock.com)
  3. Ronald Ratcliffe
    1. is a managing director at BlackRock, Inc. in San Francisco, CA. (ronald.ratcliffe{at}blackrock.com)
  1. To order reprints of this article, please contact David Rowe at drowe{at}pageantmadia.com or 212-224-3045.
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The Journal of Portfolio Management: 44 (4)
The Journal of Portfolio Management
Vol. 44, Issue 4
Quantitative Special Issue 2018
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Market-Driven Scenarios: An Approach for Plausible Scenario Construction
Bennett Golub, David Greenberg, Ronald Ratcliffe
The Journal of Portfolio Management Apr 2018, jpm.2018.1.079; DOI: 10.3905/jpm.2018.1.079

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Market-Driven Scenarios: An Approach for Plausible Scenario Construction
Bennett Golub, David Greenberg, Ronald Ratcliffe
The Journal of Portfolio Management Apr 2018, jpm.2018.1.079; DOI: 10.3905/jpm.2018.1.079
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  • Article
    • Abstract
    • IMPLIED STRESS TESTING FRAMEWORK
    • DEVELOPING USEFUL SCENARIOS
    • A MARKET-DRIVEN SCENARIO EXAMPLE: BREXIT
    • CONCLUSION
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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  • Predicting Stock Market Crashes in China
  • Not All Factor Exposures Are Created Equal
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