The following 4 modules are currently supported:
STRESS TESTING MODULE (5 templates)
Template 1. Scenarios:
- Expected portfolio PL in base currency (1-week horizon) for 10% up/down shocks on SP500 (IND:SPX)
- Expected portfolio PL in base currency (1-week horizon) for 10% up/down shocks on Oil (USO)
- Expected portfolio PL in base currency (1-week horizon) for 10% up/down shocks on Euros (EURUSD)
- Expected portfolio PL in base currency (1-week horizon) for 10% up/down shocks on Treasury prices (IEF)
- Expected portfolio PL in base currency (1-week horizon) for 10% up/down shocks on Chinese equities (FXI)
Template 2. Historical Scenarios:
- Expected portfolio PL in base currency (1-week horizon) with market conditions prevailing during the Asian Crisis of 1997
- Expected portfolio PL in base currency (1-week horizon) with market conditions prevailing during the Russian Crisis of 1998
- Expected portfolio PL in base currency (1-week horizon) with market conditions prevailing during the DotCom Bubble of 2000
- Expected portfolio PL in base currency (1-week horizon) with market conditions prevailing during the September Attack of 2001
- Expected portfolio PL in base currency (1-week horizon) with market conditions prevailing during the Lehman Default of 2008
- Expected portfolio PL in base currency (1-week horizon) with market conditions prevailing during the European Crisis of 2010
- Expected portfolio PL in base currency (1-week horizon) with market conditions prevailing during the Flash Crash of 2010
- Expected portfolio PL in base currency (1-week horizon) with market conditions prevailing during the Over supplied Oil of 2014
- Expected portfolio PL in base currency (1-week horizon) with market conditions prevailing during Brexit events of 2016
Template 3. Stress Test:
- Portfolio expected PL in base currency, CVaR- (Expected shortfall, worst 5-percentile) and CVaR+ (average of best 5-percentile) for various SP500 weekly shocks, aggregated by user-defined aggregation labels (hedge transactions have to be marked as such)
- Portfolio expected PL in base currency, CVaR- (Expected shortfall, worst 5-percentile) and CVaR+ (average of best 5-percentile) for various Oil weekly shocks, aggregated by user-defined aggregation labels (hedge transactions have to be marked as such)
- Portfolio expected PL in base currency, CVaR- (Expected shortfall, worst 5-percentile) and CVaR+ (average of best 5-percentile) for various Euro weekly shocks, aggregated by user-defined aggregation labels (hedge transactions have to be marked as such)
- Portfolio expected PL in base currency, CVaR- (Expected shortfall, worst 5-percentile) and CVaR+ (average of best 5-percentile) for various Treasury price weekly shocks, aggregated by user-defined aggregation labels (hedge transactions have to be marked as such)
- Portfolio expected PL in base currency, CVaR- (Expected shortfall, worst 5-percentile) and CVaR+ (average of best 5-percentile) for various China weekly shocks, aggregated by user-defined aggregation labels (hedge transactions have to be marked as such)
Template 4. Stress Test Filters:
- Portfolio expected PL in base currency, CVaR- (Expected shortfall, worst 5-percentile) and CVaR+ (average of best 5-percentile) for various SPX scenarios. For each scenario, contribution to portfolio’s expected PL, CVaR-, CVaR+ from top/bottom 5 positions, according to their bucketing within Longs vs. shorts
- Portfolio expected PL in base currency, CVaR- (Expected shortfall, worst 5-percentile) and CVaR+ (average of best 5-percentile) for various SPX scenarios. For each scenario, contribution to portfolio’s expected PL, CVaR-, CVaR+ from top/bottom 5 positions, according to their bucketing within Domestic vs. foreign securities
- Portfolio expected PL in base currency, CVaR- (Expected shortfall, worst 5-percentile) and CVaR+ (average of best 5-percentile) for various SPX scenarios. For each scenario, contribution to portfolio’s expected PL, CVaR-, CVaR+ from top/bottom 5 positions, according to their bucketing within Non-Options vs. Options
- Portfolio expected PL in base currency, CVaR- (Expected shortfall, worst 5-percentile) and CVaR+ (average of best 5-percentile) for various SPX scenarios. For each scenario, contribution to portfolio’s expected PL, CVaR-, CVaR+ from top/bottom 5 positions, according to their bucketing within Non-Fixed Income vs. Fixed Income
Template 5. Stress Test Comparison:
- Portfolio expected PL in base currency, CVaR- and CVaR+ for 2 superimposed portfolios, for various SPX shocks
- Portfolio expected PL in base currency, CVaR- and CVaR+ for 2 superimposed portfolios, for various Oil shocks
- Portfolio expected PL in base currency, CVaR- and CVaR+ for 2 superimposed portfolios, for various Euro shocks
- Portfolio expected PL in base currency, CVaR- and CVaR+ for 2 superimposed portfolios, for various Treasury price shocks
- Portfolio expected PL in base currency, CVaR- and CVaR+ for 2 superimposed portfolios, for various China shocks
RISK ATTRIBUTION MODULE (3 templates)
Template 6. Risk Concentrations:
- Marginal contribution to total risk (MCTR) from each position (portfolio risk defined as annualized volatility, value at risk or conditional value at risk, depending on user's preferences)
- Marginal contribution to total risk (MCTR) from each security type
- Marginal contribution to total risk (MCTR) from each liquidity
- Marginal contribution to total risk (MCTR) from each countries of risk
- Marginal contribution to total risk (MCTR) from each sector
- Marginal contribution to total risk (MCTR) from each market capitalization
- Marginal contribution to total risk (MCTR) from each user-defined label
- Marginal contribution to total risk (MCTR) from each implied rating
- Marginal contribution to total risk (MCTR) from each duration
Template 7. Factors plus Active Risk:
- Systematic and Active Marginal contribution to total risk (MCTR) after projecting to an asset class factor model ()
- Systematic and Active Marginal contribution to total risk (MCTR) after projecting to a GICS sector factor model ()
- Systematic and Active Marginal contribution to total risk (MCTR) after projecting to a risk premia factor model ()
- Systematic and Active Marginal contribution to total risk (MCTR) after projecting to a value+growth factor model ()
- Systematic and Active Marginal contribution to total risk (MCTR) after projecting to a fixed income rating factor model ()
- Systematic and Active Marginal contribution to total risk (MCTR) after projecting to a fixed income global bonds factor model ()
Template 8. Risk Filters:
- Marginal contribution to total risk (MCTR) from each position, according to their bucketing within Longs vs. shorts
- Marginal contribution to total risk (MCTR) from each position, according to their bucketing within Domestic vs. foreign securities
- Marginal contribution to total risk (MCTR) from each position, according to their bucketing within Non-Options vs. Options
- Marginal contribution to total risk (MCTR) from each position, according to their bucketing within Non-Fixed Income vs. Fixed Income
BACKTESTING MODULE (2 templates)
Template 9. Backtest Filters (equities only):
- 3-year pro-forma backtest for the portfolio in base currency, isolating the contribution to total return from Longs vs. shorts
- 3-year pro-forma backtest for the portfolio in base currency, isolating the contribution to total return from Domestic vs. foreign securities
Template 10. Backtest Comparison (equities only):
- 3-year pro-forma backtest for 2 superimposed portfolios
CHARACTERISTICS MODULE (3 templates)
Template 11. Properties:
- Expected annualized volatility
- Value-at-Risk (VaR)
- Conditional Value-at-Risk (CVaR)
- Liquidity (DTU-days to unwind)
- Gross exposure
- Net exposure
Template 12. Exposure Concentrations:
- Net and gross delta-adjusted exposure in base currency, by positions
- Net and gross delta-adjusted exposure in base currency, aggregated by security type
- Net and gross delta-adjusted exposure in base currency, aggregated by liquidity
- Net and gross delta-adjusted exposure in base currency, aggregated by countries of risk
- Net and gross delta-adjusted exposure in base currency, aggregated by sectors
- Net and gross delta-adjusted exposure in base currency, aggregated by market capitalization
- Net and gross delta-adjusted exposure in base currency, aggregated by user-defined labels
- Net and gross delta-adjusted exposure in base currency, aggregated by implied rating
- Net and gross delta-adjusted exposure in base currency, aggregated by duration