Commercial Factor Risk Models for Portfolio Scenario Analysis
Summary
The document answers a question about commercial services that model how global events may affect asset classes and portfolios. It points to major factor risk model providers as an alternative to a macroeconomic scenario service, noting that these providers include scenario analysis in broader product suites.
The examples given are MSCI Barra, Northfield, and Axioma. Their tools are described as letting portfolio managers apply hypothetical macroeconomic scenarios to their own holdings and assess potential effects. The answer gives no comparison of providers, modeling details, performance evidence, or guidance on choosing among them. It is a brief pointer to product categories and examples, so further research would be needed to evaluate coverage and suitability.
Key ideas
- Commercial factor risk model providers may offer macroeconomic scenario analysis as part of their product suites.
- These tools can apply hypothetical scenarios to a portfolio to examine potential effects.
- MSCI Barra and Northfield are cited as examples, with Axioma mentioned as another possible provider.
- The document does not compare providers or provide evidence about model accuracy.
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Full text
# Commercial providers of scenario analysis and modeling # Commercial providers of scenario analysis and modeling What are the major commercial providers that specialize in modeling the impact of specific global events on asset class performance? I'm familiar with Oxford Economics' Global Scenario Service, which will map out specific macro scenarios (e.g conflict in North Korea, BREXIT) and forecast the expected impact under the scenario on variables like GDP, equity markets, growth etc. I'm wondering if there are other researchers that provide similar scenario impact analysis but with more of a focus on portfolio management and asset class expectations. What tools are available for this kind of analysis? Besides Oxford, there doesn't seem to be anyone that provides the same kind of in-depth macro scenario modeling. ## Answer by lebelinoz (score 1) https://quant.stackexchange.com/a/36161 All the big factor risk model providers do macro scenario analysis as part of their suite of products. From the point of view of portfolio management, these sorts of products are ideal for putting your own portfolios through what-if scenarios. For example, MSCI Barra does a macroeconomic factor model described here. Part of their sales pitch includes a "risk model and scenario analysis service". There's a similar scenario analysis for factor model provider Northfield in a pdf here, and I'm sure you could find one for other factor model providers like Axioma.
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