BarraOne Historical Stress Testing Scenarios
The large number of historical scenarios delivered with BarraOne allows users to stress test their portfolios under market dislocations caused by different fundamental drivers. The following table outlines the historical scenarios available and the date horizon for which market returns are used in each scenario.
| Scenario | From | To |
|---|---|---|
| 1972 - 1974 Oil Crisis (Dec. to Sep.) | 1 Dec 1972 | 30 Sep 1974 |
| 1973 - 1974 Oil Crisis | 30 Oct 1973 | 17 Mar 1974 |
| 1987 Market Crash (Aug.to Nov.) | 3 Aug 1987 | 30 Nov 1987 |
| 1987 Market Crash (1 Oct to 1 Nov) | 01 Oct 1987 | 01 Nov 1987 |
| 1987 Market Crash (14 Oct to 19 Oct) | 14 Oct 1987 | 19 Oct 1987 |
| 1987 Market Crash (14 Oct) | 14 Oct 1987 | 14 Oct 1987 |
| 1989 - 1990 Nikkei Stock Price Correction | 29 Dec 1989 | 30 Mar 1990 |
| 1990 Reunification of Germany | 18 Mar 1990 | 03 Oct 1990 |
| 1990 - 1991 Economic Slow Down | 17 Jul 1990 | 15 Jan 1991 |
| 1992 - 1993 European Currency Crisis | 01 Sep 1992 | 13 Aug 1993 |
| 1994 US Rate Hike | 31 Jan 1994 | 13 Dec 1994 |
| 1994 Mexican Peso Crisis | 20 Dec 1994 | 27 Dec 1994 |
| 1995 US Dollar Rally | 01 Jul 1995 | 30 Aug 1995 |
| 1997 - 1999 Oil Price Decline | 08 Jan 1997 | 16 Feb 1999 |
| 1997 - 1998 Asian Financial Crisis | 01 Jul 1997 | 09 Jan 1998 |
| 1997 Hong Kong Economic Turmoil | 20 Oct 1997 | 23 Oct 1997 |
| 1997 Mini Crash | 27 Oct 1997 | 27 Oct 1997 |
| 1997 Hokkaido Takushoku Bank Failure | 17 Nov 1997 | 17 Nov 1997 |
| 1998 Hong Kong Interest Rate Raise | 15 Aug 1998 | 15 Aug 1998 |
| 1998 Russian Financial Crisis | 17 Aug 1998 | 21 Sep 1998 |
| 1998 Japanese Yen Sell off | 06 Oct 1998 | 06 Oct 1998 |
| 1998 LTCM Collapse | 07 Oct 1998 | 07 Oct 1998 |
| 1999 Brazilian Real Crisis | 1 Jan 1999 | 31 Jan 1999 |
| 1999 Brazilian Real Crisis (Peak) | 12 Jan 1999 | 29 Jan 1999 |
| 2000 Emerging Market Decline | 1 Mar 2000 | 20 Mar 2000 |
| 2000 - 2002 Argentine Economic Crisis | 03 Mar 2000 | 26 Jun 2002 |
| 2000 Tech Bubble | 7 Apr 2000 | 14 Apr 2000 |
| 2001 Dot-com Slowdown | 10 Mar 2001 | 09 Oct 2002 |
| 2001 Fed Rate Cut | 5 Apr 2001 | 19 Apr 2001 |
| 2001 Sept 11 | 10 Sep 2001 | 17 Sep 2001 |
| 2001 September 11 (Week) | 11 Sep 2001 | 17 Sep 2001 |
| 2001 Enron Collapse | 28 Nov 2001 | 28 Nov 2001 |
| 2002 Accounting Scandals and WorldCom | 30 Apr 2002 | 23 Jul 2002 |
| 2002 Equity Sell-Off | 23 Jul 2002 | 23 Aug 2002 |
| 2002 Equity Rally | 10 Oct 2002 | 27 Nov 2002 |
| 2003 Iraq War | 1 Mar 2003 | 21 Mar 2003 |
| 2003 Iraq War (Additional Markets) | 20 Mar 2003 | 20 Mar 2003 |
| 2003 Bond Rally | 1 May 2003 | 13 Jun 2003 |
| 2003 Bond Sell-Off | 14 Jun 2003 | 31 Jul 2003 |
| 2003 Parmalat Default | 08 Dec 2003 | 22 Dec 2003 |
| 2004 Italian Equity Price Drop | 10 Mar 2004 | 24 Mar 2004 |
| 2004 Madrid Attacks | 11 Mar 2004 | 11 Mar 2004 |
| 2004 Emerging Market Troubles | 05 May 2004 | 17 May 2004 |
| 2005 GM & Ford Downgrade | 05 May 2005 | 06 May 2005 |
| 2005 London Bombings | 07 Jul 2005 | 07 Jul 2005 |
| 2006 Amaranth Hedge Fund Collapse | 20 Sep 2006 | 29 Sep 2006 |
| 2007 - 2008 Oil Price Rise | 18 Jan 2007 | 27 Jun 2008 |
| 2007 - 2008 Subprime Mortgage Meltdown | 1 Aug 2007 | 01 Mar 2008 |
| 2007 - 2009 Subprime Mortgage Meltdown (Oct. to Feb.) | 1 Oct 2007 | 27 Feb 2009 |
| 2007 August | 01 Aug 2007 | 31 Aug 2007 |
| 2007 September | 01 Sep 2007 | 30 Sep 2007 |
| 2007 October | 01 Oct 2007 | 31 Oct 2007 |
| 2007 November | 01 Nov 2007 | 30 Nov 2007 |
| 2007 December | 01 Dec 2007 | 31 Dec 2007 |
| 2007 July - January | 1 Jul 2007 | 31 Dec 2007 |
| 2008 January | 01 Jan 2008 | 31 Jan 2008 |
| 2008 January (Peak of Crisis) | 14 Jan 2008 | 22 Jan 2008 |
| 2008 February | 01 Feb 2008 | 29 Feb 2008 |
| 2008 March | 01 Mar 2008 | 31 Mar 2008 |
| 2008 Bear Stearns Collapse | 13 Mar 2008 | 17 Mar 2008 |
| 2008 Bear Stearns Collapse - old | 13 Mar 2008 | 17 Mar 2008 |
| 2008 January - July | 1 Jan 2008 | 30 Jun 2008 |
| 2008 August | 1 Aug 2008 | 29 Aug 2008 |
| 2008 September | 1 Sep 2008 | 29 Sep 2008 |
| 2008 September - November | 5 Sep 2008 | 20 Nov 2008 |
| 2008 October | 1 Oct 2008 | 31 Oct 2008 |
| 2008 July - January | 1 Jul 2008 | 31 Dec 2008 |
| 2008 November - March | 20 Nov 2008 | 9 Mar 2009 |
| 2009 January - March | 2 Jan 2009 | 9 Mar 2009 |
| 2009 January - July | 1 Jan 2009 | 30 Jun 2009 |
| 2009 July - January | 1 Jul 2009 | 31 Dec 2009 |
| 2010 Greek Crisis | 1 Apr 2010 | 31 May 2010 |
| 2010 Irish Debt Crisis | 26 Apr 2010 | 25 Aug 2010 |
| 2011 Egyptian Unrest | 25 Jan 2011 | 27 Jan 2011 |
| 2011 Japanese Earthquake | 11 Mar 2011 | 15 Mar 2011 |