Baykan Pamir

State Street Associates

Assistant Vice President

140 Mt. Auburn St.

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

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Scholarly Papers (1)

1.

Enhanced Scenario Analysis

MIT Sloan Research Paper No. 5774-19
Number of pages: 23 Posted: 20 May 2019 Last Revised: 15 Jun 2019
State Street Corporate, Massachusetts Institute of Technology (MIT) - Sloan School of Management, State Street Associates and State Street Associates
Downloads 60 (352,504)

Abstract:

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Covariance matrix, Economic scenarios, Euclidean distance, Financial turbulence, Gradient descent, Mahalanobis distance, Mean reversion, Mean-variance analysis, Multivariate normal distribution, Persistence, Scale independent, Scenario analysis