Sizes a CCP default fund under the PFMI Principle 4 "Cover 2" standard: the fund must cover the default of the two clearing members that would create the largest combined stress loss under extreme but plausible market conditions. You declare each clearing member and its stress-exposure base, a set of stress scenarios with a loss rate in basis points each (the same shape qfa-03-stress-test-engine already computes per historical crisis scenario), and a fund size to test. This tool applies each scenario's loss rate to every member's declared exposure, ranks members by stress loss per scenario, takes the two largest, and checks your declared fund size against the worst scenario across your declared set.
The demo figures below are synthetic and already loaded, so you can press Run without entering anything of your own. Load the shortfall demo to see a fund that fails to cover the worst declared scenario.
It does not run stress scenarios: qfa-03-stress-test-engine already computes multi-scenario portfolio stress losses across 6 historical crisis scenarios with Monte Carlo per scenario, and this tool consumes that shape as a declared, chained input and never reimplements it. It does not recompute per-member margin models: it applies each declared scenario's loss rate uniformly to each declared member exposure, which is a sizing simplification, not a real CCP's margin methodology. It issues no recommendation to change the fund size and proves nothing about whether the declared exposures match any external position system.
PFMI Principle 4 requires a systemically important CCP to hold enough default-fund resources to cover the default of the two clearing members that together would create its largest combined credit exposure under extreme but plausible conditions. This tool checks a declared fund size against exactly that arithmetic, across every stress scenario you declare, and reports the worst one.