Dr. Dan Rosen, CEO of d1g1t and the Director for the Center for Financial Industries at Fields Institute is presenting an invited seminar at the Federal Reserve Board in Washington D.C. titled “Integrating Economic Scenarios with Risk Simulation Analytics for Stress Testing”. While scenario analysis and stress testing have been an explicit part of risk management systems for over two decades, the typical scenario tools available to portfolio managers are still generally quite static and largely subjective. This paper, which is joint work with David Saunders from the University of Waterloo and d1g1t’s head of research, presents a new practical methodology to analyze portfolios under meaningful stress scenarios, which effectively combine economic forecasts and “expert” views with advanced portfolio simulation methods, and demonstrate the methodology through some real-life examples.

For a copy of the presentation and the research paper, please contact us at getintouch@d1g1t.com.