Risk Analytics
VaR, CVaR, stress tests, beta decomposition, concentration metrics.
VaR · 1 Day 95%
95% confidence-$0.00
VaR · 1 Week 95%
95% confidence-$0.00
VaR · 1 Month 99%
99% confidence-$0.00
Risk Metrics
Parametric VaR (95%)
0
Normal approx
Monte Carlo VaR (95%)
0
5,000 sims, seed 11
Beta
0.00
Annualized Vol
0.00%
Max DD
0.00%
Sector HHI
0.000
0=diversified, 1=concentrated
Position HHI
0.000
Stress worst
2008 Global Financial Crisis
0.0% loss
Component VaR
| Symbol | Weight | CVaR | % of Total Risk |
|---|
Stress Tests
2008 Global Financial Crisis
Lehman, AIG, credit freeze. SPX −37%, VIX +25pts, IG spreads +400bps.
2020 COVID Crash
Liquidity shock. SPX −34% in 23 days, VIX +30pts, growth → value rotation.
2022 Bear Market
Rising rates + QT. SPX −25%, Nasdaq −33%, bonds −13%.
1970s Stagflation
Stagflation. SPX −45% over 2 years, oil +200%, rates +1000bps.
Dot-com Tech Crash
Tech-led bear. Nasdaq −45%, P/E compression, value leadership.
Custom: +100bps Rate Shock
Hypothetical 100bps rate hike. Equities −5%, duration −3%, banks +2%.