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Keshav Choudhary

Research and Insights

Articles by Keshav Choudhary

    Multi-Asset Class Market Report - Stress-Testing in BarraOne: Contemplating a Eurozone Breakup - April 2012

    Research Report | Apr 30, 2012 | Keshav Choudhary, Audrey Costabile

    Since the beginning of the Eurozone crisis in 2009 it is apparent that structural issues persist, particularly in the European peripheral economies. Stress testing plays a pivotal role in the risk management process. This paper shows how a well-specified scenario can be used to understand and mitigate contagion effects resulting from a hypothetical sovereign default in Greece, Spain or Italy. Global asset and factor representative portfolios are stressed to reflect the impact of default on...