Scenario Analysis

Complex risk scenarios may also be created where different shifts are applied to different baskets of assets to allow for comprehensive portfolio stress testing. Linedata Derivation allows users to shock the whole portfolio or individual risk measures alongside other data. Prices, FX, individual yield and credit curve points, volatility and time shifts may all be set to user parameters. Equity price shifts may be governed by their correlation to a separate financial instrument. This can be any financial index or price series.

Columns may be added to live worksheets, referencing specified scenarios, to view its effect on any P&L or risk figures. Two-dimensional grids of risk shocks may be displayed to show the concurrent effect of two risk scenarios. These can be applied at an individual position or aggregated level.