How to relate scenario analysis by ES

aimjo

New Member
How the results of scenario analysis can be interpreted as coherent risk measures?

If there are numerous distribution function involved, how to apply scenario analysis?

Los 54.h cross reference to Dowd chapter 2
 

Nicole Seaman

Director of CFA & FRM Operations
Staff member
Subscriber
How the results of scenario analysis can be interpreted as coherent risk measures?

If there are numerous distribution function involved, how to apply scenario analysis?

Los 54.h cross reference to Dowd chapter 2
Hello @aimjo It may be helpful for you to go through the practice questions that contain the content regarding scenario analysis. The following LO was removed from the curriculum in 2021, however, it is still in the practice question set for our members to refer to "Describe how the results of scenario analysis can be interpreted as coherent risk measures." The forum thread is here and has quite a bit of discussion regarding these concepts: https://forum.bionicturtle.com/thre...cially-expected-shortfall-es-dowd-ch-2.13970/.
 
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