Opalesque Industry Update - Since the Greek crisis triggered the current atmosphere of instability in the Eurozone, market commentators have been speculating whether the death knell is about to ring for the Euro currency. |
Analysts have used SunGard APT’s market risk tools to model different Eurozone break up scenarios. To model these scenarios, they used a global factor model incorporating macro-economic factors which enables them to estimate cross-asset class effects.
• - If five countries - Portugal, Ireland, Italy, Greece and Spain (PIIGS) - leave, APT's risk models predict downgrades and losses of up to 20% in investment grade corporate debt.
Listen to this FactSet podcast interviewing Dr. Laurence Wormald, SunGard APT's Head of Research, to find out how investors can gauge expected results from a possible Euro breakup, default of one of the PIIGS countries, and other scenarios for the troubled Eurozone. Source