Different aspects of portfolio stress-testing have been explored in previous articles, including general overviews; classification; detail on specific approaches; setting up a stress-testing programme to look at downside protection, and application to P1’s models.
In this article, Quintin Rayer takes a closer look at stress-testing portfolio diversification using hypothetical covariance matrix tests.
Q G Rayer (2019), Downside protection: how to stress-test portfolio diversification, DISCUS, available at http://discus.org.uk/stress-testing-portfolio-diversification/, 3 pages, 14 March 2019.
Download Downside protection: how to stress-test portfolio diversification
