Scenario stress test calculator
Equities, rates and spreads shocked together.
Interactive: scenario stress testMedium
- Equity loss
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- Rate loss
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- Spread loss
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- Total
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- As % of the portfolio
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- Health warning
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The defaults are deliberately a 2022-style scenario — equities down and rates up and spreads wider, all at once. Every VaR model calibrated on the preceding decade treated that combination as nearly impossible, because in that decade bonds rallied when equities fell. Compare the total here with the VaR above at the same horizon: the gap is what the distributional assumption was hiding.
The idea behind it
This calculator belongs to Risk Measures, where the mechanism it computes is explained step by step, with the formula, what each input means and where the simple model stops being right. Everything is computed in your browser; nothing you type is sent anywhere.
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