Scenario & Sensitivity Analytics
Desk-level what-if and macro shock scenarios, projected across P&L and capital ahead of time
Scenarios in Library
84
Worst-Case P&L (Library)
-$21.4M
Scenarios Run This Week
17
New Scenarios Pending Review
2
| Scenario | Shock Applied | P&L Impact | Capital Impact |
|---|---|---|---|
| Parallel +100bps Rate Shock | Rates +100bps, all tenors | -$6.2M | +$1.8M RWA |
| 2008-Style Credit Crisis Replay | Credit spreads +300bps, equities -35% | -$21.4M | +$9.6M RWA |
| FX Volatility Spike | G10 FX vol +15 points | -$3.8M | +$0.9M RWA |
| Steepening Yield Curve | 2s10s steepens 50bps | +$2.1M | -$0.4M RWA |
| Equity Market Rally | Equities +20%, vol -8 points | +$5.4M | -$1.1M RWA |
About This Agent
Data on This Page
Named macro and idiosyncratic scenarios with the shock applied, projected P&L impact and capital (RWA) impact. Stat tiles roll up the scenario library size (84), worst-case library P&L (-$21.4M), scenarios run this week (17), and new scenarios pending review (2).
What This Agent Does
Applies historical and hypothetical shocks to the live book on demand, projects P&L and capital impact per desk and firm-wide, lets risk managers build custom what-if scenarios in plain language, and complements Ballast's regulatory ICAAP/CCAR stress testing with faster, desk-facing trading-book analysis.
Worked Examples
- A 2008-style credit crisis replay projects a $21.4M P&L hit and a $9.6M RWA increase, the library's worst-case scenario.
- An ad hoc "what if EUR/USD moves 5% overnight" query was run for the FX desk ahead of a central bank meeting.
- Two new scenarios modelling a regional banking stress event are pending risk committee review before joining the standard library.