QFA-03 · Capital & Quantitative Risk · Stress Testing · Historical + Monte Carlo

Stress Test Engine

Historical scenario stress testing across six named market crises (GFC 2008, COVID 2020, Dot-com bust, Lehman week, Rate Shock 2022, SVB 2023) combined with Monte Carlo stressed paths. Outputs: stressed VaR, stressed ES, max drawdown, recovery-day estimate, and stress multiplier. Chains from QFA-02 (Portfolio VaR) or SIM-03 (Basel RWA). All computation client-side — no portfolio data transmitted.

compute_stress_test_scenarios risk_parameter Basel III Pillar 2 EBA GL/2018/04 FRTB MAR30 Historical Scenarios
Educational / Pre-validation only. Synthetic portfolio exposures. Scenario shocks are approximations of historical peak-stress conditions, not official regulatory stress parameters. Basel III Pillar 2 / ICAAP stress testing requires institution-specific calibration. No data transmitted.
Scenario Library — Historical Peak-Stress Parameters
ScenarioEquity ShockCredit SpreadRate ShockVol MultiplierHorizon
GFC Peak (Oct 2008)−42%+600bps−200bps3.0×10d
COVID Crash (Mar 2020)−34%+300bps−150bps2.8×10d
Dot-com Bust (2000–02)−45%+120bps−250bps2.2×20d
Lehman Week (Sep 2008)−10%+350bps+50bps4.5×5d
Rate Shock (2022)−20%+180bps+400bps1.8×20d
SVB Contagion (Mar 2023)−30%+200bps+50bps2.4×5d
Preset 1
Small Trading Desk
20 assets · 15% vol · 60% equity beta
Preset 2
Mixed Book
60 assets · 18% vol · 40% equity beta
Preset 3
Large Institutional
150 assets · 22% vol · 30% equity beta
Chain Intake — paste AP2 JSON from QFA-02 (Portfolio VaR) or SIM-03 (Basel RWA)