INTERMEDIATEσ 1.5× · μ −5.0% p.a.

Bank Al-Maghrib Rate Tightening

Simulate the portfolio impact of a policy rate hike (−5% drift, 1.5× volatility) across rate-sensitive Moroccan equities and BDT bonds.

Scenario Parameters & Objective

Macro / Market Overlay: Monetary tightening introduces a −5.0% annualised headwind and 1.5× volatility over a 30-day adjustment period.

Objective: Reduce duration and rate-sensitive exposure while keeping portfolio drawdown contained.

Window Duration: 30 simulated trading days · Starting Endowment: 100,000 MAD

Key Mechanics Studied in This Scenario

Discount rate sensitivity of equity valuations and 10Y Bons du Trésor (BDT10Y)
Sector differentiation between banking margins (ATW, BCP) and construction financing costs (LHM, TGCC)
Capital preservation when expected market drift is negative