Multi-Asset Class Market Report - Stress-Testing in BarraOne: Contemplating a Eurozone Breakup - April 2012
Research Paper
April 30, 2012
Preview
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 countries, sectors, and industries.
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