Calculator Inputs
Example Data Table
| Portfolio Value | Cash Buffer | Equities | Fixed Income | Alternatives | Baseline / Adverse / Severe |
|---|---|---|---|---|---|
| $1,000,000 | $50,000 | 50% | 30% | 20% | Eq -3/-12/-25, FI 1/-4/-9, Alt -2/-8/-18 |
| $2,500,000 | $150,000 | 45% | 40% | 15% | Eq -2/-10/-22, FI 1/-3/-8, Alt -1/-7/-15 |
| $750,000 | $25,000 | 60% | 25% | 15% | Eq -4/-15/-28, FI 0/-5/-10, Alt -3/-9/-20 |
Formula Used
Allocation per asset = Portfolio Value × Asset Weight
Stressed asset P&L = Allocation × Shock % × Correlation Multiplier for negative shocks
Gross scenario P&L = Sum of stressed asset P&L values
Hedge benefit = Absolute downside × Hedge Effectiveness
Net scenario P&L = Gross scenario P&L + Hedge Benefit
Expected loss = Sum of normalized scenario probability × downside amount
Scenario VaR = Loss at the selected confidence tail from ranked scenario losses
Stress coverage ratio = Cash Buffer ÷ Scenario VaR
Risk score blends VaR, downside probability, correlation stress, and hedge relief into a 0 to 100 measure.
How to Use This Calculator
- Enter the current portfolio value and available cash buffer.
- Set asset allocation weights for equities, fixed income, and alternatives.
- Choose scenario probabilities for baseline, adverse, and severe cases.
- Enter expected shock percentages for each asset class under every scenario.
- Adjust correlation multiplier if losses tend to move together during stress.
- Enter hedge effectiveness to reflect options, futures, or offsetting positions.
- Click the calculate button to display summary metrics above the form.
- Review expected loss, scenario VaR, downside probability, and detailed scenario tables.
- Use the CSV and PDF buttons to save results for reports or reviews.
FAQs
1. What does this calculator estimate?
It estimates portfolio impact under baseline, adverse, and severe scenarios. It also summarizes expected loss, scenario VaR, downside probability, cash coverage, and a composite risk score.
2. What is scenario VaR here?
Scenario VaR is the loss level taken from ranked scenario outcomes at the chosen confidence tail. It is scenario-based, not a historical or Monte Carlo estimate.
3. Why use a correlation multiplier?
During stress periods, losses often become more synchronized. The multiplier increases negative asset shocks to reflect tighter co-movement and more realistic downside clustering.
4. How does hedge effectiveness change results?
Hedge effectiveness reduces downside by the entered percentage. A higher value means stronger protection from options, futures, inverse positions, or other risk offsets.
5. Do my weights need to total 100%?
No. The calculator normalizes the entered weights automatically. Still, using values close to your real portfolio mix produces clearer and easier-to-audit results.
6. Can I use positive shocks?
Yes. Positive shocks can model upside recovery, rate relief, or defensive gains. The correlation multiplier only applies to negative shocks in this version.
7. What does the stress coverage ratio show?
It compares available cash buffer to scenario VaR. Higher values suggest stronger liquidity support against estimated stressed losses.
8. Is this a replacement for full risk systems?
No. It is a planning and screening tool. Full enterprise risk work may still require factor models, liquidity analysis, concentration checks, and validation controls.