Risk Analytics & Stress Testing
Multivariate Value-at-Risk, historical tail shocks, factor covariances, and drawdown limits
Model: Monte Carlo 50,000 Paths
Parametric VaR (95%)
$18.4M
1-Day Horizon · GaussianHistorical VaR (99%)
$29.8M
10-Day Scaled HorizonExpected Shortfall (CVaR)
$36.2M
Tail Loss Average (99%)Max Historical Drawdown
-8.4%
Recovery Time: 42 DaysMacro Tail Risk Scenarios
Select to run shock simulation2008 Global Financial Crisis (Lehman Replay)Projected Drawdown: -$94.2M
Transmission Mechanism: High credit widening, severe tech drawdown partially offset by 10Y UST flight-to-safety.
Treasury duration hedge dampens losses by +$28M
Cross-Asset Correlation Matrix
3Y Rolling Daily Covariance| SPX | NDX | 10Y UST | GOLD | OIL | BTC | |
|---|---|---|---|---|---|---|
| SPX | 1.00 | 0.88 | -0.32 | 0.12 | 0.42 | 0.58 |
| NDX | 0.88 | 1.00 | -0.41 | 0.08 | 0.35 | 0.64 |
| 10Y UST | -0.32 | -0.41 | 1.00 | 0.28 | -0.15 | -0.22 |
| GOLD | 0.12 | 0.08 | 0.28 | 1.00 | 0.22 | 0.18 |
| OIL | 0.42 | 0.35 | -0.15 | 0.22 | 1.00 | 0.25 |
| BTC | 0.58 | 0.64 | -0.22 | 0.18 | 0.25 | 1.00 |
Negative (Diversifier) Positive (Co-movement) 1.0 Autocorrelation