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Unidimensional and Multidimensional Scenarios

  • Uni-dimensional scenario analysis:
    • Identifies important risk factors
    • Shocks the factor by a large amount
    • Measures the impact on portfolio value
  • Multidimensional Scenario Analysis
    • Incorporates correlation between risk factors.
    • This increases the complexity of the analysis
    • This analysis can be backward or forward looking

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