Scenario analysis

Smarter data: steering a course in volatile markets

Fixed income markets are entering a new era of turbulence. This paper outlines the challenges facing asset managers in this macro environment and how to overcome them through high-quality data and cutting-edge analytical tools that uncover alpha and…

Peacetime stress‑testing applications

Leo Sadovy, analytics consultant, risk, finance and banking, and solution lead for SAS‘s scenario analysis and stress-testing solution, sets out the key role of strong decision-making and the importance of being able to innovate and respond to adverse…

Severe but plausible – or not?

In this paper, the authors apply a measure of statistical unusualness, called the Mahalanobis distance, to assess the plausibility of the scenarios used in the Federal Reserve's stress tests.

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