The largest risk to the market in the aftermath of the EU referendum vote lies in equities, Melissa Brown of Axioma, told CNBC on Tuesday.
The senior director of applied research explained that Axioma had run a 'Brexit' stress test, before last week's historic vote, and "equities were most exposed in terms of asset class, followed by currencies."
"The scariest finding was the expectation that U.K. equities would fall about 25 percent, European equities would be close behind and other equities around the world would also react in a contagion," Brown told CNBC.
The shock on the equity market had the largest magnitude in the stress test (between 16 percent and 24 percent), followed by the shock on the currency market (between 1 percent and 4 percent) and lastly by the shock on the bond market of 50 basis points.
"The biggest impact was the drop in equity markets and how that filters through other markets as well," added Brown.
Brown added that in factoring political risk too, with prime minister David Cameron's resignation last Friday, there was no precedent to compare to the actual scenario the U.K. was currently facing.
"We're going to have continued volatility – big up days and big down days. And that can last for quite a while, for several months," said Brown.