Portfolio VaR (95%)
$2.85M
1-Day
Expected Shortfall
$4.12M
95% Confidence
Portfolio Beta
1.24
vs S&P 500
Tracking Error
3.2%
Annualized
Portfolio Risk Contribution
| Asset |
Weight |
VaR Contribution |
Beta |
Volatility |
Risk Score |
Simulation Parameters
Portfolio P&L Distribution
VaR (95%)
$2.85M
Monte Carlo
Expected Return
2.4%
Annualized
Worst Case
-8.2%
1st Percentile
Predefined Stress Scenarios
COVID-19 Crisis (Mar 2020)
-35% equity markets, flight to quality
Financial Crisis (2008)
-50% equity, credit spread widening
Interest Rate Shock
+300bp parallel shift in yield curve
Inflation Surge
Unexpected 5% inflation spike
Geopolitical Crisis
Major conflict, commodity price spike
Stress Test Results
Portfolio Impact Summary
Total P&L:
$0
Return:
0.0%
Worst Position:
-
Best Position:
-
Asset Correlation Matrix
High Correlation
Low Correlation
Rolling Correlation Analysis
Correlation Insights & Risk Concentration
VaR Exceptions
18
Out of 1,200 days
Exception Rate
1.5%
Expected: 5.0%
Model Quality
Good
Kupiec Test
Export Risk Report