Stress Tests

A fundamental risk management technique is to measure the P&L impact on a portfolio of changes to market conditions. The Presidia™ Stress Test module offers you the ability to see how changes in price, volatility and the passage of time will affect all securities in a portfolio – in real-time.

Stress Tests are a natural extension of the Volera® Scenario Analysis data feed.  The complex computations are performed in the generation of the per-security P&L vector – it is simply the application of the customer’s proprietary position information.

P&L Vectors and Exposure Risk

Similar to the Volera Scenario Analysis engine, the Presidia Stress Test module generates P&L vectors for each position in a portfolio – these vectors can then be used to aggregate across positions, analyze worst-case scenarios, as well as compute expected shortfall and tail risk.

  • Compute P&L at the position level.
  • Compute position exposure under market stress conditions.

Historical Events

Knowing how a portfolio would behave during the recurrence of a significant historical event can provide valuable insight into the inherent risks.  If we were to witness a stock market crash of the magnitude of the Crash of 1987, how would your portfolio fare? The Presidia Stress Test module can help answer that question.

  • Crash of 1987
  • Russian debt crisis
  • Lehman default
  • Other customer-defined historical event

Stress tests

How would your current portfolio behave if the market dropped 10% today?


 

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