Client Portfolio Simulation (What-If) · Workspace

Priya Raman · Quant & DX Champion P
App detail

Client Portfolio Simulation (What-If)

A late-cycle credit repricing widens IG 100bps and HY 300bps with the CDS indices leading; CS01 books take the brunt.

Front office Prod v1 · 4 nodes Owner: Priya Raman View graph
Worst-case P&L $-43,203,200
across subjects
VaR uplift $9,750,000
1-day 99%
Hedges suggested 3
to neutralise
Subjects hit 2
desks / portfolios

P&L impact by risk factor — CREDIT

Credit Spreads +100bps · worst factor: Hy cs bps

$0$13M$25M$38M$50MSeverity · +$0.00SeverityFactors · +$1.00FactorsGrid · +$1.00GridExposure count · +$3.00Exposure countNet P&L · $-43,203,200.00Net P&L

Damage heatmap

Absolute P&L impact by subject × risk factor

SeverityFactorsGridExposure countCreditRatesFxEquityCREDITCREDIT · Severity · 0CREDIT · Factors · 1CREDIT · Grid · 1CREDIT · Exposure count · 3CREDIT · Credit · 0CREDIT · Rates · 0CREDIT · Fx · 0CREDIT · Equity · 0CREDITCREDIT · Severity · 0CREDIT · Factors · 0CREDIT · Grid · 0CREDIT · Exposure count · 0CREDIT · Credit · 6,910,000CREDIT · Rates · 410,000CREDIT · Fx · 180,000CREDIT · Equity · 1,640,000

Proposed hedges

InstrumentActionNotionalSubjectRationale
——$69KCREDITWorst factor hy_cs_bps drove 20,700,000.00 of loss; 69,000.00 of INTEREST_RATE_SWAP offsets it at the scenario shock of 300.
——$35KCREDITTail overlay on secondary factor cdx_ig_bps (8,280,000.00 of loss); a half-sized position caps the residual.
CDX IG 5YBuy protection$400MCREDITBuy index protection to cover the CS01 tail at cycle-tight spreads.