Solutions / Lacima Analytics / Core, Integration & Controls

Stress Testing

 

See how your portfolio performs under stressed market conditions.

Your Stress Testing Questions

How do I understand the impact of extreme price movements and sudden market shocks on my portfolio?

How do I quickly identify vulnerabilities and hedge effectiveness under stressed conditions?

How do I gain a complete view of portfolio resilience by applying multiple stress testing approaches?

How might I explore what-if scenarios by adjusting curves, correlations or contract positions?

Can I easily assess how changes in the market today affect tomorrow’s risk profile?

Is it possible for me to run stress tests automatically* and consistently as part of our daily risk process?

Our Stress Testing Solution

Lacima Analytics’ Stress Testing module allows you to model how your portfolio responds to a wide range of market, parameter and position stresses. From simple forward curve shifts to complex scenario modelling, it delivers a flexible, controlled environment for testing resilience under real-world and hypothetical conditions.

Run valuation stress tests, Monte Carlo and Historical VaR stresses, Parametric VaR stresses, PFE and Earnings-at-Risk stresses, and margin-related analyses. Each stress can be run ad-hoc or automated*, enabling fast scenario exploration and routine monitoring.

Clear outputs in absolute and relative terms help risk teams identify vulnerabilities, understand drivers of change and make better-informed decisions.

* With Lacima’s optional Automation module.
Day-to-Day VaR Change Analysis by Asset Class

Waterfall chart showing day-to-day Value at Risk changes by asset class, highlighting risk drivers and enabling identification of portfolio risk hotspots.

 

The Stress Testing Features

Parametric VaR Stress Test in Lacima Analytics

Lacima Analytics Stress Testing module displaying Parametric VaR stress test results with data tables and chart visualisation of portfolio risk under stressed conditions.

 

  • Multiple Stress Methodologies
    Run valuation, Monte Carlo VaR, Historical VaR, Parametric VaR, PFE, EaR and margin stresses from a single interface.
  • Market Factor Stresses
    Apply shifts, twists and bends to forward curves to test price shocks and changes in market structure.
  • Contract Position Stresses
    Add, remove or scale contract positions to assess proposed or hypothetical trades.
  • Parameter Stresses
    Stress volatility functions, correlations, mean reversion and jump volatility parameters.
  • Sensitivity & Scenario Exploration
    Assess the impact of changes to contract sets, forward curves, pricing dates, parameters or correlation structures.
  • Multi-Dimensional Result Views
    Analyse stress results by contract, time bucket, portfolio or scenario for targeted insight.

Related Solutions

Lacima Analytics > Automation
Automate routine stress runs, monitoring and reporting as part of daily risk processes.

> More on Automation

Lacima Analytics > Limits & Breaches
Apply stress results directly to limit frameworks to identify headroom, breaches and governance issues.

> More on Limits & Breaches

Lacima Analytics > EaR
Analyse cashflow-based risk metrics including Earnings-at-Risk and Revenue-at-Risk across portfolios and scenarios.

> More on EaR

Lacima Analytics > VaR
Calculate Value-at-Risk, Greeks and probabilistic risk metrics using model-consistent Monte Carlo and parametric approaches.

> More on VaR