A fundamental risk management technique is to measure the P&L impact on a portfolio of changes to market conditions. The Cboe Hanweck Stress Test feature offers you the ability to see how changes in price, volatility and the passage of time will affect all securities in a portfolio in real-time.
Stress Tests supplement the Cboe Hanweck Options Analytics’ Scenario Analytics data feed. The complex computations are performed in the generation of the per-security P&L vector and simply applies the customer’s proprietary position information.
P&L Vectors and Exposure Risk
Similar to the Cboe Hanweck Options Analytics’ Scenario Analytics content, the Stress Test feature generates P&L vectors for each position in a portfolio. These vectors can then be used to aggregate across positions, analyze worst-case scenarios, as well as compute expected shortfall and tail risk.
Compute P&L at the position level.
Compute position exposure under market stress conditions.
Historical Events
Knowing how a portfolio would behave during the recurrence of a significant historical event can provide valuable insight into the inherent risks. If we were to witness a stock market crash of the magnitude of the Crash of 1987, how would your portfolio fare? The Cboe Hanweck Stress Test module can help answer that question.
Crash of 1987.
Russian debt crisis.
Lehman default.
COVID-19 market crash.
Other customer-defined historical event.
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The information in this webpage is provided for general education and information purposes only. No statement(s) within this webpage should be construed as a recommendation to buy or sell a security or futures contract, as applicable or to provide investment advice. Supporting documentation for any claims, comparisons, statistics or other technical data in this webpage is available by contacting Cboe Global Markets at www.cboe.com/contact.
Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of “Characteristics and Risks of Standardized Options.” Copies are available from your broker or from The Options Clearing Corporation at 125 South Franklin Street, Suite 1200, Chicago, IL 60606 or at www.theocc.com.
Brokerage firms may require customers to post higher margins than the minimum margins specified in this webpage.
