Normal vs. Lognormal Risk Factors

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 months
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