Regime mapping provides a complementary risk management tool to traditional historical volatility or value-at-risk measures by offering risk estimates conditional on specific macro environments and allowing for stress testing using regime-specific drawdowns and volatilities.

Authors

• Person: Ivan Vratzov Organization: FactSet
  Mapping Asset Returns to Economic Regimes: A Practical Investor's ...

Sources

• Mapping Asset Returns to Economic Regimes: A Practical Investor's ... insight.factset.com Ivan Vratzov · FactSet via serper

Referenced by nodes (1)

• risk management concept