Historical Stress Test
Estimate portfolio impact using past market crises.
Historical stress testing applies actual market conditions from past crises (e.g., 2008 Financial Crisis, COVID-19 Crash) to estimate how your portfolio would have performed. It uses portfolio beta to scale market losses and provides a reality check for risk models based on actual extreme events rather than statistical assumptions.
Value at Risk (VaR)
The maximum expected loss at a given confidence level — but doesn't tell you how bad the tail is.
Scenario Analysis
Evaluate portfolio performance under hypothetical conditions.
Maximum Drawdown
The largest peak-to-trough loss before recovery — the worst realized loss.
DV01
Dollar change in value for a 1 basis point (0.01%) yield move.
CS01
Dollar change in value for a 1 basis point move in credit spread.
Macaulay Duration
The weighted average time (in years) to receive the bond's cash flows.