Supported Modules¶
The following 4 modules are currently supported:
STRESS TESTING MODULE (5 templates)¶
Template 1. Scenarios¶
Portfolio expected PL in base currency (1-week horizon) for 10% up/down shocks:
| Shock Factor | Ticker |
|---|---|
| SP500 | IND:SPX |
| Oil | USO |
| Euros | EURUSD |
| Treasury prices | IEF |
| Chinese equities | FXI |
Template 2. Historical Scenarios¶
Portfolio expected PL in base currency (1-week horizon) under historical market conditions:
| Historical Event |
|---|
| Asian Crisis of 1997 |
| Russian Crisis of 1998 |
| DotCom Bubble of 2000 |
| September Attack of 2001 |
| Lehman Default of 2008 |
| European Crisis of 2010 |
| Flash Crash of 2010 |
| Over Supplied Oil of 2014 |
| Brexit events of 2016 |
Template 3. Stress Test¶
Portfolio expected PL, CVaR- (worst 5-percentile), and CVaR+ (best 5-percentile) for weekly shocks, aggregated by user-defined labels (hedge transactions must be marked as such):
| Shock Factor |
|---|
| SP500 |
| Oil |
| Euro |
| Treasury prices |
| China |
Template 4. Stress Test Filters¶
Portfolio expected PL, CVaR-, and CVaR+ for various SPX scenarios — contribution from top/bottom 5 positions by bucketing filter:
| Filter |
|---|
| Longs vs. shorts |
| Domestic vs. foreign securities |
| Non-Options vs. Options |
| Non-Fixed Income vs. Fixed Income |
Template 5. Stress Test Comparison¶
Portfolio expected PL, CVaR-, and CVaR+ for 2 superimposed portfolios:
| Shock Factor |
|---|
| SPX |
| Oil |
| Euro |
| Treasury prices |
| China |
RISK ATTRIBUTION MODULE (3 templates)¶
Template 6. Risk Concentrations¶
Marginal contribution to total risk (MCTR) — risk defined as annualized volatility, VaR, or CVaR per user preference:
| Aggregation Dimension |
|---|
| Position |
| Security type |
| Liquidity |
| Countries of risk |
| Sector |
| Market capitalization |
| User-defined label |
| Implied rating |
| Duration |
Template 7. Factors plus Active Risk¶
Systematic and Active MCTR after projecting to a factor model:
| Factor Model |
|---|
| Asset class |
| GICS sector |
| Risk premia |
| Value + growth |
| Fixed income rating |
| Fixed income global bonds |
Template 8. Risk Filters¶
MCTR per position, bucketed by filter:
| Filter |
|---|
| Longs vs. shorts |
| Domestic vs. foreign securities |
| Non-Options vs. Options |
| Non-Fixed Income vs. Fixed Income |
BACKTESTING MODULE (2 templates)¶
Template 9. Backtest Filters (equities only)¶
3-year pro-forma backtest in base currency, isolating the contribution to total return by filter:
| Filter |
|---|
| Longs vs. shorts |
| 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¶
| Metric |
|---|
| 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:
| Aggregation Dimension |
|---|
| Positions |
| Security type |
| Liquidity |
| Countries of risk |
| Sectors |
| Market capitalization |
| User-defined labels |
| Implied rating |
| Duration |