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Fixed Income Stress Test
I am looking at adding a few extra stress tests onto some Fixed Income funds. I currently have theseBlack MondayGulf War 1Russian Crisis 98Lehman Crisis 08Can you think of any other tests to be included on a fun thats included G13, ConvertiblesThanks
Fixed Income Stress Test
breakup of the EuroTreasury CrashProbably the two most obvious ones......YEN crashSterling CrashFX Twists.Italy crash.Closing of the repo market for the assets in the fund
Fixed Income Stress Test
thanks for the input...when was the treasury and yen crash?
Fixed Income Stress Test
you want to apply only past events that have actually occurred to your fund....or a random collection of possible events.Japan had a huge crash in the early 1990'sUS has had several crashes or large systemic moves that could be applied.But note: Euro hasn't broken up as it didn't exist before. I guess the closet thing to it would be the Bretton Woods accord and thats not really the same....Personally I would have this as big stress in any portfolio I would have...especially lately.