Solve a reverse stress test
SolveReverseStress
/api/scenarios/$reversestress
Solve for how far the market has to move to produce a given change in portfolio value. A scenario supplies the direction the market moves in: which risk factors move, and in what proportion to each other. The solve is over a single factor its shifts are multiplied by, so the answer is a multiple of the scenario rather than a set of shifts in its own right - a factor of two means twice every shift the scenario states. A ladder of factors is valued first, all in one valuation so the rungs share market data resolution, then the bracketing pair is interpolated and the interpolated factor valued again to confirm it. The whole ladder is returned: a reverse stress is only meaningful where the change in value moves in one direction with the factor, and the ladder is what shows whether it does. The solve is refused rather than approximated where it cannot be trusted: a scenario carrying a shift with no size to scale (a model option, or a market data routing override), a measure that cannot be computed under a scenario, or a valuation that could not price every holding.
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