Stress Testing

Torstone Risk supports both historical and hypothetical stress scenario analysis. You can choose from a vast library of historical stress scenarios, or simply define your own which can be automated or performed on demand.

What-if stress analysis for hypothetical stress scenarios can also be easily and quickly configured, with multiple ladders of risk factors stressed differently yet simultaneously.

The Scenario Engine takes the positions, scenario definitions, security terms, and market data, and distributes these to our proprietary pricing grid infrastructure. Scenario generation orchestrates the required pricing calculations on a hybrid of client in-house models and Torstone’s 150+ credit, fixed income, FX, equity, and commodity derivative pricing models across thousands of compute nodes in parallel.

• Historical Stress Scenarios
• Hypothetical (What-if) Stress Scenarios
• Stressed Historical Value-at-Risk
• Scenario Engine/Analysis