TODO_TAGS_REVIEW

Stress Test Engine

Multi-scenario stress testing across 6 historical crisis scenarios (GFC 2008, COVID Mar 2020, Dot-com Bust, Lehman Week, Rate Shock 2022, SVB Contagion 2023) with Monte Carlo per scenario. Equity/credit/rate factor decomposition, stressed VaR and ES, stress multiplier, recovery-day estimate. Chains from QFA-02 (VaR Engine). Feeds RCA-01 (FRTB IMA). Basel 3.1 Pillar 2 ICAAP / EBA GL/2018/04 / FRTB MAR30 stress calibration reference.

Tool URL: https://ainumbers.co/chaingraph/qfa-03-stress-test-engine.html AP2/Policy Mandate export: yes

post/v1/tools/compute_stress_test_scenarios

Request

  • Base URL: https://ainumbers.co
  • URL: https://ainumbers.co/v1/tools/compute_stress_test_scenarios
  • Auth: none declared

Request body

confidence_levelunknown required
credit_sensitivityunknown required
equity_betaunknown required
mc_pathsnumber required
portfolio_volunknown required
presetunknown required
rate_duration_yrsunknown required
seedunknown required

Response

Successful tool execution result

compliance_flagsstring[]
max_drawdownnumber
normal_var_pctnumber
recovery_days_estimateinteger
stress_multipliernumber
stressed_es_pctnumber
stressed_var_pctnumber
verdictstring
worst_case_lossnumber
worst_case_scenariostring

Changes

No recorded changes to this operation across all 1 revision of this API.