Summary

The elStressScenario function retrieves the risk measure of a portfolio in the context of a specified stress scenario. This function supports only positions and portfolio as calculation levels.

Examples

In these example the chosen stress scenario is the 2007-2009 sub-prime crisis (scenario 3021).

=elStressScenario("pnl","portfolio", 3021, C11,D11,"EUR", "relative")

Calculates the P&L impact a market stress scenario would have on a portfolio (here one asset) defined by C11 and its corresponding quantity defined by D11. Here, the currency is EUR. MeasureType is set to relative.

=elStressScenario("pnl","portfolio", 3021, C11:C50,D11:D50,"EUR", "relative")

Calculates the P&L impact a market stress scenario would have on a portfolio whose instrument IDs are defined by C11:C50 and their corresponding quantities are listed in D11:D50. The currency is still EUR.

=elStressScenario("pnl","portfolio", 3021, {"CHF","EUR"},{1000,1000},"EUR", "relative")

This example can be copied and pasted to Excel and will give an instantaneous result.

Syntax

elStressScenario(Measure, CalculationsLevel, ScenarioID, AssetsIDs[], Quantities[], Currency, MeasureType)
Argument name Default Description
Measure   “pnl” (Profit and Loss).
CalculationsLevel   The granularity at which the results should be calculated (individual asset, portfolio).
ScenarioID   The ID of a pre-defined scenario to serve as the basis for the simulation.
AssetsIDs   Single or multiple asset identifiers (ISIN, FIGI, currency ISO, Edgelab ID).
Quantities   Asset quantities in the same orders as the specified asset ids.
Currency (Optional) local The ISO code of the reference currency for deriving the calculation results. Specify “local” to use the instruments native currency where appropriate. It is mandatory to specify a currency when the granularity is “portfolio”.
MeasureType (Optional) relative Whether the result should be normalized. The input should be “relative” or “absolute”. “True” or “False” are still supported for the moment.