Stress Tests

A fundamental risk management technique is to measure the P&L impact on a portfolio of changes to market conditions. The PHD Stress Test module offers you the ability to see how changes in price, volatility and the passage of time will affect all securities in a portfolio – in real-time.

Stress Tests are a natural extension of the PHD Options Analytics’ Scenario Analytics data feed.  The complex computations are performed in the generation of the per-security P&L vector – it is simply the application of the customer’s proprietary position information.

P&L Vectors and Exposure Risk

Similar to the PHD Options Analytics’ Scenario Analytics content, the Stress Test module generates P&L vectors for each position in a portfolio – these vectors can then be used to aggregate across positions, analyze worst-case scenarios, as well as compute expected shortfall and tail risk.

• Compute P&L at the position level.
• Compute position exposure under market stress conditions.

Historical Events

Knowing how a portfolio would behave during the recurrence of a significant historical event can provide valuable insight into the inherent risks.  If we were to witness a stock market crash of the magnitude of the Crash of 1987, how would your portfolio fare? The PHD Stress Test module can help answer that question.

• Crash of 1987
• Russian debt crisis
• Lehman default
• Other customer-defined historical event