Parametric Stress Test¶

Computes a parametric stress test for the portfolio, estimating portfolio losses under predefined regulatory and factor shock scenarios using a parametric (analytical) approach rather than full Monte Carlo revaluation.

HTTP Request

POST /calculations/parametric_stress_test

HTTP Parameters

Parameter	Description
`portfolio_id` string	optional The ID of an existing portfolio. When provided, the calculation uses the portfolio's securities, date, base currency, and NLV. The `securities` parameter is no longer required.
`securities` array	REQUIRED * An array of objects describing the securities in the portfolio. Each object includes a unique id, symbol, quantity, and label. For more details click here. * Not required if `portfolio_id` is provided.
`date` string date	optional, default is `null` (today) Portfolio date in the format: `YYYYMMDD`.
`base_currency` string	optional, default is `USD` 3-letter ISO 4217 currency code.
`nlv` float	optional, default is `null` (calculated) Net liquidating value (NAV) of the portfolio.
`use_cashflow` boolean	optional, default is `True` For fixed income securities: `True` maps each cashflow event to key points in the interest rate curve; `False` uses Macaulay duration instead.
`factor_model` string	optional, default is `beta` Factor model to use for stress test. Accepts: `beta`.
`st_worst_method` string	optional, default is `by_factor` Method used to compute the worst-case stress test scenario. Accepts: `by_factor`.
`b3_core_method` string	optional, default is `standard` B3 core margin calculation method. Accepts: `standard`.
`historical_days` integer	optional, default is `252` Number of business days used to compute the factor covariance matrix.
`custom_shocks` object	optional, default is `null` An object defining custom shock scenarios to apply on top of the built-in scenarios.
`projection` array	optional, default is `["IND:SPX"]` Array of securities used as the top-down factor model. Maximum: `15` elements.
`filter` string	optional, default is `null` Filter expression to select a subset of securities for display. See Filter Expression.

To calculate the parametric stress test, run the following:

Curl

curl https://api.everysk.com/v2/calculations/parametric_stress_test \
  -H "Content-Type: application/json" \
  -H "Authorization: Bearer <ACCESS_TOKEN>" \
  -d '{
        "securities": [
          {
            "id": "id1",
            "symbol": "PETR4:BVMF",
            "quantity": 150.0
          }
        ],
        "base_currency": "BRL",
        "date": "20210711"
      }' \
  -X POST

The above call returns the following JSON object:

{
  "parametric_stress_test": {
    "results": {
      "port_parametric_st_bear_b3": -531.94,
      "port_parametric_st_bull_b3": 475.35,
      "port_parametric_st_worst_b3": -531.94,
      "port_parametric_st_base_custom": -99.0,
      "sec_parametric_st_bear_b3": {
        "id1": [-531.94]
      },
      "sec_parametric_st_bull_b3": {
        "id1": [475.35]
      },
      "sec_parametric_st_worst_b3": {
        "id1": [-531.94]
      },
      "factor_labels": ["IND:BVSP"],
      "parametric_st_shocks": {
        "bear": [-0.0085, ...],
        "bull": [0.0107, ...],
        "worst": [-0.0085, ...]
      }
    },
    "unmapped_tickers": []
  }
}