Greek Crisis 2015: Stress Testing Scenarios for Asset Management Portfolios

In this research brief, we explore the history of the current Greek crisis, review approaches taken by market practitioners to stress testing, outline potential scenarios that portfolio managers may wish to examine and show how Axioma’s risk management and portfolio analytics tools can be applied to stress test a model portfolio of European bonds and equities.

Tommy DeCurtis, Philip J. Jacob,
Melissa Brown & Nikolai Sookal