Time to Manage Your Risk

06 March 2012

One-Click Portfolio Stress Test

An exciting part of this latest version of the RiskAPI Add-In is the addition of several new Market Macro keywords that enable instant portfolio stress testing. Click on the image below to view a quick demo of the stress test in action.

Click here to view the market macro stress test in action.

The system applies user-defined underlier price and implied volatility stresses and re-evaluates positions to determine individual and total P&L impacts. In addition, a very handy feature is the ability to select hypothetical index moves and see how these translate into potential moves in an equity, future, or option position. For example, users can input a hypothetical 3% drop in the S&P 500. The system will translate this into corresponding moves in each option underlier (or direct equity position) and then re-evaluate the entire portfolio based on these moves. The result is a P&L impact identifying whether the portfolio would lose money or not.

The results above were calculated using The RiskAPI Add-In, our unique software client which allows fund managers to access a whole spectrum of on-demand portfolio risk analysis calculations.