BlackRock overhauls scenario analysis approach

New approach introduced six months ago, as event risk increases


BlackRock has revamped its approach to scenario analysis this year in response to the increasing importance of event risk, according to the firm's chief risk officer, Ben Golub.

The move has seen historical stress tests supplemented with new, "market-driven" scenarios, which have now been in use for about six months, Golub said in his keynote address at the Risk USA conference in New York today. Their introduction "is about going beyond just a statistical model and dealing with the fact we have

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