Stress-Testing
Post-crisis scepticism on the assumptions behind sophisticated risk models, has brought a renewed interest on the subject of stress testing from senior management, regulators, investors, and other stakeholders. RiskValue allows risk managers to examine the effect of various sudden and sharp changes of market prices on the portfolio value through complete revaluation of affected instruments, while multiple time dimensions and different severity levels are applied.
Main Features
Design stress scenarios very easily and quickly
- Create empirical scenarios based on significant that happened in the past
- Expert-based which are further subdivided in user defined and predictive scenarios
- Design user defined scenarios with absolute or relative changes to specific instruments, risk factors and asset classes
- Forecast risk factor changes with predictive scenarios
- Monitor the evolution of each scenario in the future (multiple time steps)
Extract detailed information and compare the results of many scenarios
- Maintain historically all scenarios’ results for audit reports
- Extract comprehensive reports for each scenario
- Compare stress results of sub-scenarios based on multiple severity levels of each scenario
