Model downturns, rate jumps, and currency swings easily. Tune weights, beta, duration, and exposures fast. See stressed value, loss, and recovery targets in seconds.
| Portfolio | Weights | Key sensitivities | Scenario | Illustrative outcome |
|---|---|---|---|---|
| $100,000 | Equity 60%, Bonds 30%, Cash 10% | Beta 1.0, Duration 6, SpreadDur 3, FXExp 10% | Market -20%, Rates +1.0pp, FX +10%, Spreads +1.5pp | Stressed return ≈ -16% (depends on inputs) |
| $250,000 | Equity 50%, Bonds 45%, Cash 5% | Beta 0.9, Duration 8, SpreadDur 4, FXExp -5% | Market -15%, Rates +2.0pp, FX -5%, Spreads +2.0pp | Stressed return ≈ -20% (rate-heavy profile) |
This calculator uses a transparent, sensitivity-based approximation:
VaR is a simplified parametric estimate using an approximate z-score and conservative volatility aggregation across equity, bonds, and FX.
A practical stress test begins with clear shock definitions that map to real risk drivers. In this calculator, market drop, rate move, credit spread move, and currency move are treated as separate levers. Severity should match the question being asked: liquidity planning may use deeper, faster shocks than long‑horizon capital planning. Document assumptions, such as one‑day gaps, multi‑week trends, or step changes, so results can be reproduced and compared over time.
The engine converts shocks into returns using sensitivities: equity beta links portfolio equities to the market drop, while duration translates yield changes into bond price impact. Credit spread duration adds an extra layer for corporate credit risk. Net currency exposure represents how much portfolio value changes when exchange rates move. When inputs are uncertain, run ranges, for example beta 0.8–1.2 or duration 4–8, to see where the loss profile is most fragile.
Weights for equity, bonds, and cash are normalized when inputs do not sum to 100%. That prevents accidental over‑ or under‑allocation during quick scenario experiments. The stressed portfolio return is computed as the weighted sum of component returns plus the FX overlay, producing a stressed value, loss, and loss percentage. You can contrast presets with custom shocks to separate “baseline stress” from “what‑if” adjustments during committee reviews.
Loss is the difference between starting value and stressed value. Recovery needed estimates the gain required from the stressed level to return to the starting value, highlighting how drawdowns compound. A 20% loss needs a 25% recovery, which is why controlling tail scenarios matters for risk budgets and stop‑loss rules. Compare scenarios by loss percentage first, then by the mix of drivers, to identify whether equity, rates, spreads, or currency dominate.
Alongside scenario outcomes, the calculator provides a simplified parametric VaR estimate using an approximate z‑score and conservative volatility aggregation across equity, bonds, and FX. VaR is not a worst‑case number and should be complemented with scenarios. This model ignores correlation structure, nonlinear instruments, and dynamic hedging, so use it for direction, comparison, and communication. Use cautiously.
It is the estimated portfolio percentage change under the selected shocks, combining equity, bond, cash, and currency effects based on your weights and sensitivities.
If the three weights do not sum to 100%, the calculator rescales them proportionally so the portfolio is fully allocated and results stay comparable across runs.
Use effective duration for rate risk and option‑adjusted spread duration for credit risk when available. If not, start with reasonable ranges and test sensitivity to uncertainty.
No. VaR is a probability‑based estimate over the chosen horizon and confidence, not a maximum loss. Use it alongside explicit stress scenarios to evaluate tail risk.
It shows the percentage gain required from the stressed value to return to the starting value. Larger drawdowns require disproportionately larger recoveries.
This version evaluates one scenario per run. Export results to CSV or PDF, then rerun with different presets or custom shocks to compare outcomes side by side.
Important Note: All the Calculators listed in this site are for educational purpose only and we do not guarentee the accuracy of results. Please do consult with other sources as well.