BarraOne Stress Testing
BarraOne allows users to stress test their portfolios in order to understand the potential impact of market dislocations on portfolio values and sensitivities. Users may define their own scenarios, use pre-defined historical scenarios provided by Barra, or modify a pre-defined scenario.
The following market data can be shocked:
- Equity market prices or volatilities
- Interest rates
- Credit spreads
- Currencies
- Commodities
In addition, portfolios can be stress tested using either uncorrelated or correlated market shocks. Uncorrelated shocks are applied directly to market data, and only those instruments directly exposed to the shocked market conditions are revalued. With correlated shocks, BarraOne employs the factor relationships in the Barra Integrated Model (BIM) to also revalue instruments not directly exposed to the shocked market conditions.
BarraOne revalues portfolio assets using shocked market conditions
These five new scenarios bring the total number of pre-defined historical scenarios available in BarraOne to 63. Click here to see a list of all historical scenarios available in BarraOne.