Template/Stress Test Filters

This template computes the portfolio expected profit and loss (PL) in base currency, CVaR- (Expected shortfall, worst 5-percentile) and CVaR+ (average of best 5-percentile) for various SPX scenarios.

For each scenario, the contributions to portfolio’s expected PL, CVaR-, CVaR+ from each position is also computed, according to the following bucketing:

● Longs vs. shorts

● Domestic vs. foreign securities

● Options vs. other securities