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Analytics Solutions

Portfolio Stress Testing

Access a sophisticated, flexible and comprehensive stress testing framework

Design a purpose-fit stress test

Axioma RiskTM offers the flexibility to construct standard instantaneous shocks on single as well as multiple factors, varying each model parameter and selecting different lookback periods for correlated stress tests. Walk through a historical period or multiple periods one day at a time to capture the observed path-dependent association of your portfolio to selected factors. And, with granular or factor risk model choices, you can decompose your portfolio’s sensitivities at a level that is aligned with your investment process.

As an open platform, you can load one of Qontigo’s leading factor risk models or your own in order to understand the sensitivities related to macroeconomic, geopolitical, market and other events.

Our stress testing framework is embedded within our enterprise portfolio risk management system Axioma Risk and can be used for:

Complementing traditional risk models

Highlight hidden exposures and vulnerabilities by shocking variables, which are unrelated to the portfolio

Scenario analysis

Full repricing of the portfolio without assumptions about distributions or first-order approximations

Expected shortfall analysis

View at the holding, parent or portfolio level to see the impact on a standalone, sub-group or total portfolio level

Efficient workflows

Store your historical stress test and templates to modify stress tests without having to start from scratch

Modeling hedge funds

A regression tool coupled with factor libraries allow you to identify factor sensitivities for a fund without the holdings information

Associated products

Additional resources