Stress Scenario IDs
Historical stress scenarios
This is the list of the historical stress scenarios available through the Edgelab API. The ID represents the identifier of the scenario that must be used in the API. For all these scenarios, the time horizon is implicitly given by the difference between the start and end dates.
| ID | Name | Description | Start date | End date |
|---|---|---|---|---|
| 7505 | 1973 - 1974 Arab Oil Embargo | The Arab-dominated Organization of Petroleum Exporting Countries (OPEC) proclaimed in October 1973 an oil embargo to the United States and other nations that provided military aid to Israel in the Yom Kippur War. In March 1974, the embargo was lifted, however during that six-month period, the price of oil had risen by nearly 400%. | 1973-10-16 | 1974-03-17 |
| 7502 | 1987 Black Monday | On October 19, 1987, the stock market collapsed suddenly and unexpectedly. The Dow Jones Industrial Average (DJIA) fell by 22.6%. | 1987-10-16 | 1987-10-19 |
| 7506 | 1990 Oil Price Shock | Following Iraq’s invasion of Kuwait, the United Nations imposed an embargo on oil exports from both countries, which were two of the world’s biggest oil producers. This led to an increase in oil prices by 133%. | 1990-07-10 | 1990-09-28 |
| 7507 | 1998 Russian Financial Crisis | On August 17, 1998, the Russian government devalued the ruble, defaulted on domestic debt and declared a moratorium on repayment of foreign debt. The crisis led to a lot of consequences in every sphere, such as devaluation of the national currency by around 250% by December 1998. | 1998-07-01 | 1998-10-01 |
| 7508 | 2000 - 2002 Dot-com Bubble | During the late 20th century, the Internet created a euphoric attitude toward business and inspired many hopes for the future of online commerce. For this reason, many Internet companies (known as “dot-coms”) were launched, and investors assumed that a company that operated online was going to be worth millions. But, obviously, many dot-coms were not rip-roaring successes, and most that were successful were highly overvalued. As a result, many of these companies crashed, leaving investors with significant losses. The NASDAQ composite index value dropped by 77% between March 11, 2000 and September 23, 2002. | 2000-03-11 | 2002-10-09 |
| 7503 | 2001 September 11 Attacks | On the morning of September 11, 2001, 19 terrorists hijacked four planes and carried out suicide attacks against targets in the United States. Two of the planes were flown into the twin towers of the World Trade Center in New York City, a third plane hit the Pentagon and the fourth plane crashed in a field in Pennsylvania. The stock market closed for four trading days after the attacks, the first time since the Great Depression. The immediate economic impact was a drop of the Dow Jones Industrial Average (DJIA) by 7.13%. | 2001-09-10 | 2001-09-21 |
| 3021 | 2007 - 2009 Subprime Mortgage | Demand for mortgages led to an asset bubble in housing. When the Federal Reserve raised the federal funds rate, it sent adjustable mortgage interest rates skyrocketing. As a result, home prices plummeted, and borrowers defaulted. Derivatives spread the risk into every corner of the globe. That caused the 2007 banking crisis, the 2008 financial crisis, and the Great Recession. Dow Jones Industrial Average fell by 53% between October 9, 2007 and March 5, 2009. | 2007-10-01 | 2009-02-27 |
| 3035 | 2008 Lehman Brothers bankruptcy | Since Lehman Brothers declared bankruptcy in mid-September, its debt debacle continued to haunt the global financial market as investors became increasingly uncertain when the cascade of bank failures and bankruptcies will stop. | 2008-09-05 | 2008-11-20 |
| 3044 | 2010 Greek Crisis | In 2010, Greece said it might default on its national debt, threatening the viability of the eurozone itself. To avoid default, the EU loaned Greece enough to continue making payments. In return for the loan, the EU required Greece to adopt austerity measures. These reforms were intended to strengthen the Greek government and financial structures. They did that, but they also mired Greece in a recession. Greece’s credit rating was downgraded to junk status, the lowest in the eurozone. | 2010-04-01 | 2010-05-07 |
| 10066 | 2010 Flash crash | On May 6, 2010 between 14h and 15h, a large flash crash occured intra-day on the US market. The market mostly retraced its losses, nevertheless leaving a clear drop at closure. In the aftermath of this strong intra-day event, the subsequent days showed clearly large moves and an enhanced volatilite. Please notice that since the stress-tests are done with close prices, the intra-may moves are not acounted for, and a macro-stress test should be used to probe an isolated large move. | 2010-05-05 | 2010-05-11 |
| 3048 | 2011 Japanese Earthquake | On March 11, 2011, a 9.1 magnitude earthquake and tsunami struck Japan. This disrupted the global supply chain of semiconductor equipment and materials, as Japan manufactures 20% of the world’s semiconductor products. To make matters worse, the tsunami damaged the Fukushima Daiichi nuclear power plant, creating radioactive leaks. The Nikkei 225 index was down by 16% from March 11, 2011 to March 15, 2011. | 2011-03-11 | 2011-03-15 |
| 4567 | 2013 Tapering Tantrum | Since November 2008, the US Federal Reserve implemented a program called quantitative easing. It involved large purchases of bonds and other securities in order to increase liquidity in the financial sector and stimulate the economy. On May 22, 2013 the Fed announced that they may taper, or reduce, the size of its bond-buying program, which led to substantial turmoil in the financial markets during the second quarter. As a result, the interest rate of the US 10 Year Treasury Bond increased by 68% between May 1, 2013 and July 5, 2013. | 2013-05-01 | 2013-07-05 |
| 4560 | 2015 SNB EURCHF floor removal | The Swiss National Bank (SNB) decided on January 15, 2015 that it would no longer defend the minimum exchange rate of the Swiss franc against the Euro. The SNB has been intervening in the currency markets more aggressively since September 2011 to prevent the franc from appreciating too high, and at times, it was the only buyer of EURs to prevent the franc from dropping below €1.20. After three-and-a-half years of artificially capping the currency’s rise, Swiss officials have scrapped that plan, prompting a sharp franc rise across the board. As a result, in just one day it pushed down the value of the Euro by 30%. | 2015-01-14 | 2015-01-15 |
| 4568 | 2015 Chinese Stock Market Turbulence | Before reaching the ceiling on June 12, 2015, China’s stock market had ballooned about 150% in a year. The bubble started popping in mid-June and between June 12, 2015 and July 8, 2015 China’s Shanghai Composite index dropped by 32%. A big reason for the stock market rally was that a lot of ordinary Chinese people began investing in the stock market for the first time. Unlike other major stock markets, which are dominatedby professional money managers, retail investors account for more than 80% of China’s trade. These inexperienced retail investors dramatically increased the volatility of the market leading to much greater fluctuations in the stock market than would otherwise be the case. The rise was also fuelled by the “trading on margin” or the practice of trading with borrowed money, which was not well regulated. | 2015-08-10 | 2016-02-11 |
| 4565 | 2016 - Brexit | Brexit is the June 23, 2016, referendum where the United Kingdom voted to leave the European Union. The residents decided that the benefits of belonging to the unified monetary body no longer outweighed the costs of free movement of immigration. As a result, the pound sterling dropped its value by 12% and reached its lowest level against the US dollar since 1985. | 2016-06-23 | 2016-06-27 |
| 10067 | 2018 February high volatility | February 2018 is considered as a wild month for the stock market, mostly in the US, with several strong moves down and up. It is not related to one particular event, but rooted in economic uncertainty about overvaluation of stocks, rising interest rates and fears of inflation. Over the month, the volatility was very high, albeit the overall moves over this period are not exceptional. | 2018-02-01 | 2018-02-21 |
| 10110 | 2020 Covid-19 crisis | In December 2019, the region of Wuhan, China has been identified as the outbreak of the COVID-19 pandemic. Declared a Public Health Emergency of International Concern on 30 January, the virus is characterized by a high transmission rate and thus, governments had to take public policy measure to contain the spread. It has resulted in significant operational disruption and recession concerns have started to grow. Combined with the actual high valuation of the stock market, it has resulted in violent market reactions all over the world. The Dow Jones Industrial Average, The S&P 500 and the Nasdaq felt by more than 30% between 19 February and 23 March. | 1982-08-12 | 1987-08-25 |
| 10125 | Reaganomics | 1987-12-04 | 1990-07-17 | |
| 10126 | Black Monday Comeback | 1990-10-11 | 2000-01-14 | |
| 10127 | Roaring 90s | 2002-10-09 | 2007-02-08 | |
| 10128 | Housing Boom | 2009-03-09 | 2020-01-17 | |
| 10129 | Long, Slow Recovery | 1995-08-09 | 2000-03-10 | |
| 10130 | Dot com boom | 2020-03-23 | 2020-08-31 | |
| 10131 | Covid Rebound | 2016-12-01 | 2018-01-26 | |
| 10132 | 2017 Bull market | 2020-03-23 | 2020-08-31 | |
| 10133 | Post 08 recovery | 2009-03-01 | 2015-05-01 | |
| 10134 | Post 01 recovery | 2002-10-01 | 2007-07-13 |
Macro stress scenarios
This is the list of all the macro stress scenarios where a shock on the primary driver is spread across the whole universe. All the scenarios suppose a time horizon of 5 days.
| ID | Primary driver | Shock on the primary driver |
|---|---|---|
| 10004 | EuroStoxx | -10% |
| 10005 | CAC 40 | -10% |
| 10006 | DAX | -10% |
| 10007 | IBEX 35 | -10% |
| 10008 | SMI | -10% |
| 10009 | OMX STOCKHOLM 30 | -10% |
| 10010 | FTSE 100 | -10% |
| 10011 | Dow Jones Industrial Average | -10% |
| 10012 | S&P 500 Net TR | -10% |
| 10013 | NASDAQ 100 | -10% |
| 10014 | S&P/TSX 60 | -10% |
| 10015 | Nikkei 225 | -10% |
| 10016 | Hong Kong Hang Seng Index | -10% |
| 10018 | MSCI Emerging Markets Index | -10% |
| 10019 | FTSE Europe GBI EUR | -10% |
| 10020 | Bloomberg US Government Bond | -10% |
| 10021 | Bloomberg Barclays US Corporate High Yield Total Return Index Value Unhedged USD | -10% |
| 10022 | Swiss Bond Index (SBI) Domestic Government Total Return | -10% |
| 10023 | Swiss Bond Index AAA-BBB Total Return | -10% |
| 10024 | SXI Swiss Real Estate Funds TR | -10% |
| 10025 | USD-GBP | -10% |
| 10026 | USD-GBP | +10% |
| 10027 | USD-JPY | -10% |
| 10028 | USD-JPY | +10% |
| 10029 | USD-CHF | -10% |
| 10030 | USD-CHF | +10% |
| 10031 | USD-EUR | -10% |
| 10032 | USD-EUR | +10% |
| 10033 | USD-AUD | -10% |
| 10034 | USD-AUD | +10% |
| 10035 | USD-CAD | -10% |
| 10036 | USD-CAD | +10% |
| 10037 | XAU-USD | -10% |
| 10038 | XAU-USD | +10% |
| 10039 | XAG-USD | -10% |
| 10040 | XAG-USD | +10% |
| 10041 | CHF yield curve | -25 bps |
| 10042 | CHF yield curve | +25 bps |
| 10045 | EUR yield curve | -25 bps |
| 10046 | EUR yield curve | +25 bps |
| 10049 | GBP yield curve | -25 bps |
| 10050 | GBP yield curve | +25 bps |
| 10053 | USD yield curve | -25 bps |
| 10054 | USD yield curve | +25 bps |
| 10057 | JPY yield curve | -25 bps |
| 10058 | JPY yield curve | +25 bps |
| 10100 | MSCI World EUR | -10% |
| 21148 | USD yield curve | +100 bps |
Isolated stress scenarios
This is the list of all the macro stress scenarios where a shock is applied only on the prescribed entities and not spread to the rest of the factors. All the scenarios suppose a time horizon of 5 days.
| ID | Primary driver | Shock on the primary driver |
|---|---|---|
| 10043 | CHF yield curve | -25 bps |
| 10044 | CHF yield curve | +25 bps |
| 10047 | EUR yield curve | -25 bps |
| 10048 | EUR yield curve | +25 bps |
| 10051 | GBP yield curve | -25 bps |
| 10052 | GBP yield curve | +25 bps |
| 10055 | USD yield curve | -25 bps |
| 10056 | USD yield curve | +25 bps |
| 10059 | JPY yield curve | -25 bps |
| 10060 | JPY yield curve | +25 bps |
| 10061 | Swiss equities | Prices -10% |
| 10062 | EUR denominated equities | Prices -10% |
| 10063 | UK equities | Prices -10% |
| 10064 | US equities | Prices -10% |
| 10065 | Japanese equities | Prices -10% |
| 10068 | Global credit curve shift | Spread +25% |
| 10101 | Swiss credit curve shift | Spread +25% |
| 10102 | US credit curve shift | Spread +25% |
| 10103 | Eurozone credit curve shift | Spread +25% |
| 10104 | French credit curve shift | Spread +25% |
| 10105 | German credit curve shift | Spread +25% |
| 10106 | Italian credit curve shift | Spread +25% |
| 10107 | Spanish credit curve shift | Spread +25% |
| 10108 | British credit curve shift | Spread +25% |
| 21147 | USD yield curve | +100 bps |
Stress drivers
This is the list of all the stress drivers for which you can call a “pnl” impact on demand and choose the magnitude of shock.
| ID | Description | Shock Type |
|---|---|---|
| fx-USD-AUD | Foreign Exchange Rate USD in AUD. | relative |
| fx-USD-CAD | Foreign Exchange Rate USD in CAD. | relative |
| fx-USD-CHF | Foreign Exchange Rate USD in CHF. | relative |
| fx-USD-EUR | Foreign Exchange Rate USD in EUR. | relative |
| fx-USD-GBP | Foreign Exchange Rate USD in GBP. | relative |
| fx-USD-JPY | Foreign Exchange Rate USD in JPY. | relative |
| fx-XAG-USD | Foreign Exchange Rate XAG (Silver) in USD. | relative |
| fx-XAU-USD | Foreign Exchange Rate XAU (Gold) in USD. | relative |
| index-bonds-ch-gov | Index of government bonds in Switzerland. | relative |
| index-bonds-ch-hq | Index of high quality grades bonds in Switzerland. | relative |
| index-bonds-eu-gov | Index of government bonds in the Eurozone countries. | relative |
| index-bonds-us-gov | Index of government bonds in the United States. | relative |
| index-bonds-us-hy | Index of high yield corporate bonds in the United States. | relative |
| index-equity-cac40 | Index of 40 main French stocks that are trading on Euronext Paris. | relative |
| index-equity-dax30 | Index of 30 main blue chip german stocks trading on the Frankfurt Stock Exchange. | relative |
| index-equity-djia30 | Index of 30 large stock listed on the stock exchanges in the United States. | relative |
| index-equity-eurostoxx50 | Index of main blue chip Eurozone stocks. | relative |
| index-equity-ftse100 | Index of 100 stocks with the highest market capitalisation listed on the London Stock Exchange. | relative |
| index-equity-hangseng50 | Index of 50 large stock traded on the Honk Kong stock exchange. | relative |
| index-equity-ibex35 | Index of 35 main Spanish stocks trading on the Bolsa the Madrid. | relative |
| index-equity-msci-em | Index of over 1300 large and mid cap equities across 27 Emerging Markets. | relative |
| index-equity-msci-world | Index of over 1500 large and mid cap equities across 23 Developed Markets. | relative |
| index-equity-nasdaq100 | Index of stocks issued by 100 largest non-financial companies listed on the Nasdaq Stock Exchange. | relative |
| index-equity-nikkei225 | Index of 225 large stocks traded on the Tokyo Stock Exchange. | relative |
| index-equity-omx30 | Index of 30 most traded stock on the Stockholm Stock Exchange. | relative |
| index-equity-smi20 | Index of main Swiss Stocks. It includes 20 of the largest and most liquuid Swiss companies. | relative |
| index-equity-sp500 | Index of 500 large stocks listed on the stock exchanges in United States. | relative |
| index-equity-sptsx60 | Index of approximately 250 stocks traded on the Toronto Stock Exchange. | relative |
| index-real-estate-ch | Index of the real estate market based on the real estate funds traded at SIX Exchange that have at least 75% of their assets invested in Switzerland. | relative |
| yield-CHF | Parrallel shift in CHF yield curve. | absolute |
| yield-EUR | Parrallel shift in EUR yield curve. | absolute |
| yield-GBP | Parrallel shift in GBO yield curve. | absolute |
| yield-JPY | Parrallel shift in JPY yield curve. | absolute |
| yield-USD | Parrallel shift in USD yield curve. | absolute |