DESK 02 // MODEL 08 // HISTORICAL FINANCIAL CRISIS SIMULATOR

Historical Financial Crisis & Balance Sheet Simulator

Interactive macroeconomic stress replay engine. Simulate survival across 4 defining systemic dislocations (1998 LTCM, 2008 Lehman/GFC, March 2020 COVID Dash for Cash, and March 2023 SVB Duration Run) under 4 institutional balance sheet profiles (Defined Benefit Pension, Regional Commercial Bank, Multi-Family Office, and Global Macro Hedge Fund). Real-time Basel III LCR calculus, duration gaps, Kyle's fire-sale slippage, and strategic capital defense levers.

Select Historical Crisis Scenario 4 SCENARIOS

Select Institutional Balance Sheet 4 ARCHETYPES

Crisis Progression Timeline & Stress Phase

T+0 Days: Baseline

Day 0
Baseline

Day 15
Early Tremors

Day 30
Catalyst Shock

Day 60
Peak Panic

Day 90
Intervention

Net Asset Value / CET1 $1,000M Drawdown: 0.0%

Liquidity Coverage Ratio 142.5% Basel III Target ≥ 100%

Available Cash vs 30D Outflow $1,200M Net Surplus: +$450M

Effective Gross Leverage 1.0x Prime Haircut: 2.0%

Institutional Balance Sheet State VALUES IN $ MILLIONS

Balance Sheet Line Item	Baseline (T=0)	Current (Mark-to-Market)	Delta ($ / %)

Historical Crisis Context: Baseline Calibration

Markets operating under normal volatility parameters. Interbank lending spreads remain tight and liquidity is abundant. Balance sheet solvency buffers remain intact.

Strategic Capital & Liquidity Levers DECISION MATRIX

1. Asset Liquidation & Cash Generation

2. Funding Source & Emergency Borrowing

3. Risk De-Leveraging & Capital Structure

Macro Dislocation Indicators at Current Phase:

Equity Drawdown: 0.0%

10Y Yield Shift: 0 bps

Credit Spread Blowout: +0 bps

Repo Haircut Level: 2.0%

Dynamic Balance Sheet Composition & Capital Cushion ($M)

REAL-TIME SVG TELEMETRY

Quantitative Methodology & Mathematical Formulations

This simulator applies deterministic institutional stress formulas utilized by the Federal Reserve (DFAST/CCAR), the Bank for International Settlements (Basel Committee), and top macro relative-value desks:

Basel III Liquidity Coverage Ratio

$$\text{LCR} = \frac{\text{HQLA}}{\text{Net 30-Day Cash Outflows}} \ge 100\%$$

Quantifies unencumbered Level 1/2A assets available to cover immediate 30-day institutional deposit and margin runoffs.

Duration Gap & Equity Shock

$$\Delta E \approx - \left[ D_A - \left(\frac{L}{A}\right) D_L \right] A \cdot \frac{\Delta y}{1+y}$$

Measures sensitivity of net equity capital to parallel yield curve shifts given asset and liability duration asymmetry.

Kyle's Lambda Fire-Sale Slippage

$$\Delta P = \lambda \cdot Q = \left( \frac{\sigma_v}{2 \sigma_u} \right) Q$$

Endogenous price impact from forced asset liquidations; slippage scales quadratically with liquidation size $Q$.

Brunnermeier Haircut Multiplier

$$\text{Gross Leverage} \le \frac{1}{h_t}$$

Proves how counterparty margin haircut increases from $h_0$ to $h_1$ trigger mandatory de-grossing and capital contraction.