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Market Insight - Stress Scenarios for Japanese Government Bond Yields - October 2013

categories: Risk Management Analytics, Investing (Investment Management), Risk Management, RMA, BarraOne, Equities, Fixed Income, Multi-Asset Class, BarraOne, Research Paper, RUBAN Oleg, general

This paper, second in a series of three, examines the potential impact of rising Japanese Government Bond yields on a range of sample portfolios.  We create scenarios that model market conditions associated with a rise in yields using factors in the Barra Integrated Model.  A key insight is that the underlying cause of the rise in yields matters greatly for the spillover effects associated with the scenario. In particular, the different stories behind the rise in yields have different implications for the correlation between Japanese equities and government bonds. This correlation is crucial in determining the size and direction of the impact of these scenarios on representative portfolios in different geographical segments and asset classes.


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Market_Insight_Stress_Scenarios_for_JGBs_in_BIM_October_2013.pdf