Most risk factors used by Everysk are lognormal. The invariant property for these risk factors are their compounded returns and therefore when they are used in stress tests, the magnitude of the shock is a percent move.
For example: If you shock SP500 by -1%, it will represent an instantaneous move from current level to a new level that is 1% lower.
Conversely, certain risk factors (rates/spreads) used by Everysk are normal and a shock on them is represented by an absolute shift in the rate/spread:
| Shock | Magnitude | Current level | New level |
|---|---|---|---|
SPX |
-1% | 2821 | 2792 |
Libor 3M |
-1% | 1.77 | 0.77 |
The following list outlines all the risk factors in Everysk that are assumed normal:
| Everysk Symbol | Description |
|---|---|
|
IND:LIBOR1M |
London Interbank Offered Rate - 1month |
|
IND:LIBOR3M |
London Interbank Offered Rate - 3 months |
|
IND:LIBOR6M |
London Interbank Offered Rate - 6 months |
|
IND:LIBOR12M |
London Interbank Offered Rate - 12 monts |
|
IND:CMTY1MO |
Constant Maturity Treasury Rate - 1 month |
|
IND:CMTY1YR |
Constant Maturity Treasury Rate - 1 year |
|
IND:CMTY5YR |
Constant Maturity Treasury Rate - 5 years |
|
IND:CMTY10YR |
Constant Maturity Treasury Rate - 10 years |
|
IND:CMTY30YYR |
Constant Maturity Treasury Rate - 30 years |
|
IND:BAMLAAA
|
BofA Merrill Lynch US Corporate AAA Option-Adjusted Spread |
|
IND:BAMLAA
|
BofA Merrill Lynch US Corporate AA Option-Adjusted Spread |
|
IND:BAMLBBB
|
BofA Merrill Lynch US Corporate BBB Option-Adjusted Spread |
|
IND:BAMLBB
|
BofA Merrill Lynch US Corporate BB Option-Adjusted Spread |
|
IND:BAMLB
|
BofA Merrill Lynch US Corporate B Option-Adjusted Spread |
|
IND:BAMLCCC
|
BofA Merrill Lynch US Corporate CCC Option-Adjusted Spread |
|
IND:BAMLEMEA
|
BofA Merrill Lynch US Corporate EMEA Option-Adjusted Spread |
|
IND:BAMLLATAM
|
BofA Merrill Lynch US Corporate LATAM Option-Adjusted Spread |
|
IND:BAMLAPAC
|
BofA Merrill Lynch US Corporate APAC Option-Adjusted Spread |
|
IND:COMMCDX
|
Municipal CDS Index |