Scenario Analysis
Evaluate portfolio performance under hypothetical conditions.
Scenario analysis tests portfolio performance against hypothetical market conditions - either custom shocks (e.g., rates +200bp, equities -20%) or predefined scenarios (e.g., stagflation, risk-off). Unlike historical stress tests, scenarios can combine multiple simultaneous shocks to test specific concerns.
Historical Stress Test
Estimate portfolio impact using past market crises.
Value at Risk (VaR)
The maximum expected loss at a given confidence level — but doesn't tell you how bad the tail is.
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.
Modified Duration
Measures the percentage price change for a 1% yield change.