This book presents a crisis scenario generator with black swans, black butterflies and worst case scenarios. It is the most useful scenario generator that can be used to manage assets in a crisis-prone period as it gives more reliable values for Value at Risk (VaR), Conditional Value at Risk (CVaR) and Tail Value at Risk (TVaR).
The first chapter scrutinizes risk-oriented philosophy, forecast risk-oriented philosophy and its processes.
The second chapter is devoted to scenario-building processes, especially those used in generators with an emphasis on main and extreme scenarios.
Finally, the third chapter concerns asset management processes using a generator methodology to avoid risk understatement and increase optimization. It addresses the question of how to manage assets when crisis probability increases. There is a process for using generators in order to be well prepared for handling crises.
1. Risk-oriented Philosophy, Forecast-based Philosophy and Process
2. Scenario Building Processes.
3. How to Use These Scenarios for Asset Management?
Arnaud Clément-Grandcourt was successively director of institutional management at Crédit du Nord, President of BNP Gestions and of BNP Gestion de inversiones in Madrid, and then President of LFP Investissements.
Hervé Fraysse is a consultant at EY and member of the French institute of actuaries. He studied at the statistics institute of Pierre and Marie Curie University (ISUP) and received the Young Actuaries’ prize delivered by SCOR in 2013.
Table of Contents
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