Stress-test every portfolio against 2008 GFC, 2020 COVID, 2022 rate shocks or your own custom scenarios. Monte Carlo simulation, regime-conditional correlations and tail risk analytics — all integrated with your fund database.
Portfolio Stress Testing
2008 · 2020 · 2022 · your scenarios
The problem
Naïve stress tests apply 2008 losses to today’s portfolio. Sophisticated stress tests apply 2008 dynamics — correlations, factor regimes, liquidity.
Pick a regime
2008 GFC · 2020 COVID · 2022 · custom
Apply realised dynamics
Correlations · factor shocks · liquidity
Trustee report
Max DD · CVaR · recovery profile
Institutional-grade stress testing that combines historical regimes, Monte Carlo simulation and your own scenarios.
2008 GFC, 2020 COVID, 2022 rate shock, 1998 LTCM, 2011 sovereign crisis. Realised correlations, volatilities and factor shocks applied to your current allocation.
Specify shocks to any factor, regime changes in correlations, liquidity stress and counterparty events. Useful for geopolitical and forward-view modelling.
Configurable distributions (normal, Student-t, mixture, copula). Runs in seconds for portfolios with 50+ underlying managers.
Layer liquidity assumptions (gates, lock-ups, underlying-position liquidity) on top of market stress. Model the real cost of being forced to sell.
Correlations spike to 1 in crises. The platform applies regime-conditional correlations so your stress test doesn't under-estimate concentrated drawdowns.
One-click stress test reports for the investment committee, trustees, regulators. Every result versioned and source-attributed.
Naïve stress tests apply 2008 losses to today's portfolio. Sophisticated stress tests apply 2008 dynamics — correlations, factor regimes, liquidity conditions — to your current exposures. The two produce wildly different answers.
Portfolio stress testing software models how a portfolio would behave under historical or hypothetical market regimes. It applies shocks to factor exposures, correlations and liquidity assumptions, then projects the resulting loss, drawdown and recovery profile. Essential for institutional trustees, risk teams and regulators.
2008 Global Financial Crisis, 2020 COVID crash, 2022 rate-hike shock, 1998 LTCM / Russia, 2011 European sovereign crisis, 2015–2016 commodities crash, March 2020 dash-for-cash. Each scenario applies the realised shocks to correlations, volatilities and factor returns from that period to your current portfolio.
Yes. Custom scenarios let you specify shocks to any factor (equity, rates, credit, FX, commodities), correlation regime changes and liquidity assumptions. Useful for testing geopolitical scenarios, regulatory changes or your own forward views.
Yes. Monte Carlo with configurable distributions (normal, Student-t, mixture, copula-based) for forward-looking simulations beyond the historical record. Runs in seconds for portfolios with 50+ underlying managers.
Yes. Stress test outputs auto-populate trustee risk reports, Solvency II / IORP II returns and Form PF submissions. Every result is versioned and source-attributed for audit.
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