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Portfolio Stress Scenario Engine

Deterministic delta-gamma portfolio stress revaluation across named shock scenarios with worst/best and tail-loss summaries.

Model keylq.scenario.portfolio-stress
Version1.0.0
Runtimepython-process
Run governed modelTry browser demo
Model contract

Inputs are explicit.

{
    "type": "object",
    "required": [
        "exposures",
        "scenarios"
    ]
}
Output contract

Outputs are explicit.

{
    "type": "object",
    "required": [
        "scenarios",
        "worst_scenario",
        "best_scenario",
        "p95_scenario_loss"
    ]
}
Default parameters
[]
Example input
{
    "exposures": [
        1000000,
        -500000,
        250000
    ],
    "gammas": [
        50000,
        20000,
        10000
    ],
    "portfolio_value": 2500000,
    "scenarios": [
        {
            "name": "risk-off",
            "shocks": [
                -0.08000000000000000166533453693773481063544750213623046875,
                0.0299999999999999988897769753748434595763683319091796875,
                -0.11999999999999999555910790149937383830547332763671875
            ]
        },
        {
            "name": "risk-on",
            "shocks": [
                0.05000000000000000277555756156289135105907917022705078125,
                -0.0200000000000000004163336342344337026588618755340576171875,
                0.070000000000000006661338147750939242541790008544921875
            ]
        },
        {
            "name": "rates-shock",
            "shocks": [
                -0.0299999999999999988897769753748434595763683319091796875,
                0.08000000000000000166533453693773481063544750213623046875,
                -0.0200000000000000004163336342344337026588618755340576171875
            ]
        }
    ]
}
Capabilities
cpuscenariostress-testing
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