Scenario analysis
Lehman collapse, credit freeze, equity drawdown of ~55%. Severe margin calls, illiquid markets, and fire-sale dynamics across all asset classes.
Peripheral sovereign stress (Greece, Italy, Spain). Interbank lending freeze, flight to quality, EUR weakness.
Fed signals tapering of QE. Sharp rise in long-term yields, EM capital outflows, fixed income losses.
Fastest equity drawdown in history (~34% in 23 days). Credit markets froze, margin calls surged, redemption queues formed.
Fastest rate hikes in 40 years. Bond portfolios hammered, UK gilt crisis (LDI), crypto contagion. Fixed income and real estate under pressure.
Prolonged high inflation, oil shock, equity bear market. Real asset values eroded. Modern model applies historical return profiles to current portfolio.
Red dashed line = $1,500M minimum threshold