Ronald Ratcliffe (BlackRock): Market-Driven Scenarios Amidst Macro Uncertainty and Geopolitical Risks

Ronald Ratcliffe: Market-Driven Scenarios Amidst Macro Uncertainty and Geopolitical Risks

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Abstract:
Macroeconomic fundamentals typically drive the general direction of financial market returns. However, tail risks – which can be triggered by macroeconomic, geopolitical, or other policy events, can and do arise that are difficult to forecast and understand, but can have significant adverse effects on returns. Improving understanding of the impacts of large market shocks from macro fundamentals changes, as well as geopolitical stresses, is therefore a crucial part of effective risk management. The Market-Driven Scenario (MDS) framework conceptualizes macro geopolitical and events including risk triggers and resulting economic, market, and portfolio alpha impacts. MDS is designed to mitigate the subjective and often ad hoc nature of hypothetical scenario generation. Economic forecasts and market views are collected from a wide number of firm constituents, including risk management, investor, and economic research teams. These views are then distilled using a disciplined process that uses statistical best practices to form a final set of scenarios.
 
Bio:
Ronald Ratcliffe, PhD, is a Managing Director at BlackRock in the Analytics & Quantitative Solutions (AQS) group. He focuses on multi-asset portfolio risk, scenario analysis, and portfolio construction.
 
Dr. Ratcliffe's service with BlackRock dates back to 2004, including his years with Barclays Global Investors (BGI), which merged with BlackRock in 2009. Prior to joining AQS, he led the Market-Driven Scenarios (MDS) initiative as Head of Cross-Platform Scenario Analysis in the Risk & Quantitative Analysis (RQA) group. Previously in RQA, he was Head of Multi-Asset Investment Risk for the Americas West region. In the Portfolio Management Group (PMG), he was a portfolio manager and developed asset allocation strategies. Prior to joining BGI, Dr. Ratcliffe was a senior manager at KPMG in corporate valuation and international transfer pricing. Previously, he was the chief economist for Latin America at SG Cowen Securities, a subsidiary of Societe Generale. Before that he was with Bankers Trust Company (now part of Deutsche Bank) where he carried out country risk analysis.
 
Dr. Ratcliffe earned BA degrees in economics and in political science, with distinction and with departmental honors in economics, from Stanford University. He received a PhD in economics from the University of Pennsylvania.
 
Website:

https://www.iijournalseprint.com/JPM/Blackrock/Spr18MarketDrivenScenari…