The accepted wisdom is that the collapse of Lehman Brothers had catastrophic consequences because no-one had thought through, much less prepared for, a failure in the system of this size.

But at the offices of The Depository Trust & Clearing Corporation in New York in the summer of 2005, chairman and chief executive Don Donahue and a team of risk managers at the vast clearer and settlement system provider, had already been "war-gaming" just such a scenario.