Portfolio Stress Test Calculator
Apply user-entered percentage shocks to up to 20 long or short position values expressed in one consistent account-currency basis. The calculator reconciles row contributions, total scenario P/L and post-stress equity as a first-order sensitivity exercise—not as a forecast, probability or complete institutional stress test.
Enter one consistent shock scenario
Use one pipe-separated row per position: label | long or short | same-unit exposure value | price shock percent.
Short label applied to every value in this scenario.
Positive equity in the same entered currency or value unit.
One to 20 rows. A positive shock means the entered instrument price rises.
Linear scenario impact
Entered Portfolio Exposure and Stress 1.0.0.
On smaller screens, scroll horizontally to inspect the complete calculation table.
| Position | Direction | Exposure value | Entered shock | Scenario P/L |
|---|
How the entered portfolio stress test is calculated
Total scenario P/L = Sum of row P/L
Post-stress equity = Starting equity + Total scenario P/L
Version 1.0.0 treats long as a +1 direction factor and short as −1. A negative shock therefore hurts a long row but helps a short row, while a positive shock has the opposite sign effect.
Every exposure must already be valued in the same declared currency or unit. The engine multiplies each exposure by its entered price shock and direction, then preserves the signed contribution instead of clipping losses or gains.
Net scenario P/L is the sum of signed contributions. Gross absolute contribution adds their magnitudes and reveals how much offsetting exists, while separate loss and gain totals reconcile exactly to the net.
Post-stress equity adds the entered net scenario P/L to starting equity. The equity-impact percentage uses starting equity as its denominator and can exceed a 100% loss when the entered linear losses exceed equity.
Federal Reserve guidance describes sensitivity analysis as stressing variables or inputs and warns that relationships may become nonlinear in stressed conditions. This page follows the narrow sensitivity concept and prominently retains that limitation.
Worked example from the audited fixture
The audited fixture starts with USD 50,000 equity and enters three rows: long EUR/USD value 100,000 shocked −2%, short USD/JPY value 75,000 shocked +1.5%, and long XAU/USD value 20,000 shocked +3%.
- The row contributions are −2,000, −1,125 and +600 USD. Gross absolute contribution is 3,725 USD, losses total −3,125 USD and gains total +600 USD.
- Net scenario P/L is −2,525 USD, post-stress equity is 47,475 USD and the entered scenario impact is −5.05% of starting equity.
Reproduce it: select “Load audited example” above. The governed engine retains full precision and rounds only the visible interface.
How to interpret the result
- The primary result answers what the entered linear shocks do to the entered exposure values—not what markets will do.
- A positive contribution from a short row under a negative price shock reflects the direction convention. It does not account for borrowing, financing or execution.
- Gross absolute contribution can be much larger than net P/L when gains and losses offset. Netting can hide large opposing sensitivities.
- The largest adverse row identifies the most negative entered contribution, not the riskiest instrument under every possible scenario.
- A positive total does not make the portfolio resilient; an omitted factor or nonlinear exposure can reverse the result.
- Run several documented scenarios if useful, but do not choose only the scenario that supports a preferred decision.
Assumptions and limits
- Shocks are supplied by the user and are not historical estimates, probabilities or Federal Reserve supervisory scenarios.
- The linear formula can be inappropriate for options, barriers, changing deltas and other nonlinear instruments.
- The model does not change exposure as prices move, simulate paths or account for correlation and feedback between rows.
- Liquidity, gaps, spreads, commission, financing, conversion, tax, margin, liquidation and stop execution are excluded.
- Entered exposure values may use different price dates or conventions unless the user standardizes them.
- Institutional stress testing includes governance, scenario design, validation and broader balance-sheet effects that this browser calculation does not reproduce.
- No resilience grade, loss probability, maximum-loss claim, position change, forecast, signal or recommendation is generated.
Currency exposure vs stress vs concentration
These calculations are complementary, not interchangeable. Currency exposure preserves native FX legs, stress testing applies entered same-unit shocks, concentration measures entered share unevenness and portfolio volatility uses covariance assumptions. None of them alone establishes suitability or future loss.
| Measure | Evidence entered | Question answered | Main boundary |
|---|---|---|---|
| Currency exposure | FX pair, direction, base units and reference price | Long, short and net native units by currency | No cross-currency total or hedge decision. |
| Portfolio stress | Same-unit directional exposure and entered shock | First-order scenario P/L and equity reconciliation | No probability, nonlinear repricing or complete stress program. |
| Portfolio concentration | Positive absolute values in one unit | HHI, effective positions and top shares | No covariance, look-through or diversification grade. |
| Portfolio volatility | Weights, volatilities and correlation matrix | Covariance-based dispersion | A separate assumptions-based risk model. |
Frequently asked questions
- It applies each entered price shock to one same-unit directional exposure value and reconciles row contributions with total scenario P/L and post-stress equity.
- Version 1.0.0 multiplies long by plus one or short by minus one, then multiplies by entered exposure value and entered shock percent divided by 100.
- It means the entered instrument price rises; that helps a linear long row and hurts a linear short row before omitted costs.
- Yes. Every row and starting equity must share one declared account-currency or value-unit basis for the totals to be meaningful.
- No. It is a narrow first-order sensitivity calculation and does not reproduce scenario governance, validation, nonlinear repricing or balance-sheet effects.
- No. They are user-selected what-if inputs and the calculator does not determine whether they are plausible, likely or exhaustive.
- Only if an appropriate exposure value already represents the intended first-order sensitivity; the page does not reprice options or changing deltas.
- No. Omitted factors, liquidity, gaps, costs, margin, changing exposure and other scenarios can materially change the result.
Sources and methodology
- Federal Reserve — Interagency stress-testing guidance — Official guidance defining sensitivity analysis and warning that linear relationships can fail under stress.
- Federal Reserve — 2026 stress-test scenarios — Official example of hypothetical stress scenarios that explicitly are not forecasts.
The immutable implementation contract fixes row parsing, direction signs, normalization, invalid states, reconciliations and permanent exclusions so later copy or layout edits cannot silently change the arithmetic.
Continue the portfolio stress review
Verify the position values and execution terms
Before using a position, exposure or scenario value, confirm the exact symbol, contract basis, account currency, conversion, spread, commission, financing and execution records for the broker entity and account involved. These browser calculations cannot certify that entered evidence is current or complete.
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