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Greek Crisis 2015: Stress Testing Scenarios for Asset Management Portfolios

The Greek debt crisis, culminating most recently with a third bailout and further spending cuts aimed at avoiding bankruptcy and an exit from the Eurozone, made headlines for much of 2015.

In this paper, we explore the history of the latest 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 tools and portfolio analytics can be used to stress test a model portfolio of European bonds and equities.