How to stress-test portfolios for Brexit and trade wars

Options markets point to likely market moves in different scenarios, write StatPro risk specialists

brexit stress

Markets are facing two big unknowns: the possibility of a no-deal Brexit and the chance of escalating trade wars. How can investors simulate these two scenarios to stress-test portfolios? Options markets provide some clues.

To analyse Brexit scenarios, we have focused on calls and puts around March 29, 2019 – the date of the UK’s planned departure. The text of the withdrawal agreement was published on November 14, to be greeted with almost universal condemnation by UK politicians of all stripes

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Register

Want to know what’s included in our free membership? Click here

This address will be used to create your account

Digging deeper into deep hedging

Dynamic techniques and gen-AI simulated data can push the limits of deep hedging even further, as derivatives guru John Hull and colleagues explain

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here