Stressed Value at Risk
These statistics show what the default value at risk statistic would be tomorrow if the specified stress test happened today. The results assume your position quantities do not change.
Technical Notes
To calculate the stressed value at risk or volatility, we calculate a new set of backcast returns for each security, setting the most recent return is equal to the stress test return for that security. For options and other derivatives the existing backcast returns are adjusted using a delta-gamma approximation.
Note, when stress value at risk and volatility are displayed as a percentage of AUM, the capital is the current AUM. The capital is not updated for any profit or loss in the stress test scenario.