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Fixed Income Stress Test
Posted: May 6th, 2010, 3:32 pm
by BFP
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
Posted: May 6th, 2010, 6:39 pm
by irishnoel
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
Posted: May 7th, 2010, 7:47 am
by BFP
thanks for the input...when was the treasury and yen crash?
Fixed Income Stress Test
Posted: May 7th, 2010, 12:46 pm
by irishnoel
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.
Fixed Income Stress Test
Posted: May 18th, 2010, 9:38 am
by frattyquant
The major US treasury crash was in 94.