We Have a Stress Test App–Check It Out
The Stress Test App is the latest addition to the current collection of customizable apps available in the Imagine Marketplace. Similar to the other simulation tools in Imagine, the Stress Test App uses archived data to stress current portfolios and generate robust historical simulations that estimate how a portfolio would perform under documented periods of extreme risk volatility.
The Stress Test App provides value-added features on top of regular historical stress testing abilities: advanced control over your inputs coupled with the ability to analyze your output in great detail. The App:
- creates output that clearly explains the variables used to calculate the theoretical values
- offers greater user-control over the logic and defaults to generate simulations
Additionally, a companion dashboard provides at-a-glance simple views that clearly identifies a portfolio’s strengths and vulnerabilities under a pre-defined stress scenarios.
It was a historic moment to be remembered when crude oil plunged into negative price territory on Monday 20th April 2020. Imagine’s Data, Technical, Development and Professional Services teams stood ready to assist users in ensuring they continued to correctly calculate risk metrics across commodity trading books. While negative prices are not a new thing in financial markets, it was the first time for crude oil to exhibit such behaviour. Standard pricing models (Black Scholes) for commodity future options are not designed to handle negative underlying prices. As such, Imagine applied an ‘early roll’ of the front month contract of May crude to the June expiry as the negative settle price was confirmed.