Risk Modeling in the Past and Future with Portfolio Crash Testing

The previous blog posts (From Client to CEO: Does Portfolio Crash Testing Really Work? & The Proof Is In The Pudding: How Portfolio Crash Testing Worked for Me.) in this series delved into the DNA of PCT and my personal experience utilizing the Riskostat application that the PCT technology is based. In this post I will shed some light on how past events were modeled, and how we create scenarios around events that have not yet (or have never) taken place.

How PCT Works

Our model has a lot of factors. The US Equity Markets, Australian 10Y Bond, British Pound and most other factors that you can think of are in our model. It is not an equity model that has been modified to accommodate fixed income and other asset classes, it was constructed from the ground-up as a true multi-asset class model.

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