Stress Tests

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.