Stress Tests

How would your current portfolio behave if the market dropped 10% today?

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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.