PM 39.4 - Scenario Analysis and Sensitivity Analysis

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4 Terms

1
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Monte Carlo and historical simulation approaches are methods to account for:

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2
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Interpreting historical scenario analysis

  • What do asset return distributions often exhibit?

skewness and excess kurtosis (fat tails)

3
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  • scenario analysis

  • stress testing

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4
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what approaches are used to account for:

  • Skewness

  • excess kurtosis

  • tail dependence

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