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Value-at-Risk analytics, stress testing, and concentration monitoring
Portfolio VaR 95%
$28.3M
CVaR 99%
$45.1M
Sharpe Ratio
1.42
Max Drawdown
-3.8%
| Scenario | Portfolio Impact | Probability |
|---|---|---|
| Rates +100bp | -$84M | Low |
| Credit Spread +50bp | -$42M | Medium |
| Equity -10% | -$38M | Medium |
| FX: USD +5% | -$22M | High |
| Vol Spike +10pts | -$18M | Medium |
| Combined Adverse | -$156M | Very Low |