Stress Scenario Analysis
When to Activate
Trigger when user asks: "stress test the portfolio", "what happens in a crash", "scenario analysis", "what if rates rise 200bps", "how would we perform in a COVID-like event"
Pre-Defined Historical Scenarios
| Scenario |
Period |
Key Characteristics |
| COVID-19 Crash |
Feb-Mar 2020 |
-34% S&P 500, extreme vol |
| Global Financial Crisis |
Sep 2008 - Mar 2009 |
-57% from peak, credit freeze |
| Taper Tantrum |
May-Sep 2013 |
Rates spike, EM selloff |
| Tech Bubble Burst |
Mar 2000 - Oct 2002 |
-78% Nasdaq |
| Flash Crash |
May 2010 |
Intraday -9%, liquidity evaporation |
| European Debt Crisis |
Apr-Jun 2010 |
Sovereign risk, EUR weakness |
| China Deval / VIX Spike |
Aug 2015 |
CNY deval, -12% S&P 500 |
| Fed Tightening 2022 |
Jan-Oct 2022 |
+400bps rates, -25% S&P 500 |
| SVB / Banking Crisis |
Mar 2023 |
Regional bank failure, rates vol |
| Volmageddon |
Feb 2018 |
Short-vol unwind, -10% S&P 500 |
Workflow
Historical Stress Backtest
Tool: backtest_historical_stress or stress_scenario_analyzer
- Select scenario (or let user specify custom)
- Apply historical shocks to current portfolio positions
- Calculate portfolio-level impact
Custom Scenario Construction
Tool: scenario_sensitivity
Parameters:
- Shock type: "rates", "equity", "credit", "fx", "volatility"
- Magnitude: "+200bps", "-20%", "+100bps spread"
- Duration: "instantaneous", "over 3 months"
Result Presentation
| Scenario |
Portfolio Impact |
Worst Sector |
Best Sector |
Recovery Time |
| [Name] |
-X.X% |
[Sector] (-XX%) |
[Sector] (+XX%) |
X months |
Impact Waterfall: Show contribution by sector/position to total portfolio loss.
Narrative Template: "In a [scenario name]-like event, the portfolio would experience an estimated [X.X]% drawdown, driven primarily by [sector/factor] exposure. The [largest position] accounts for [X]% of the total impact. Recovery to pre-stress levels would take approximately [X] months based on historical precedent."
Stopping Points
- After scenario selection: confirm scenario and portfolio with user before running analysis
- After results presented: pause for follow-up questions or custom scenario requests
Output
Stress test results with scenario summary table, impact waterfall, and narrative explanation following the template above.
1---2name: stress-scenario-analysis3description: Use this skill when the user asks for a "stress test", "scenario analysis", or wants to know how the portfolio would perform in a crisis. Also use for what-if questions like "what if rates rise 200bps", "impact of a COVID-like event", or "how bad could it get in a recession". Covers both historical scenario replay and custom shock construction.4---56# Stress Scenario Analysis78## When to Activate910Trigger when user asks: "stress test the portfolio", "what happens in a crash", "scenario analysis", "what if rates rise 200bps", "how would we perform in a COVID-like event"1112## Pre-Defined Historical Scenarios1314| Scenario | Period | Key Characteristics |15|----------|--------|-------------------|16| COVID-19 Crash | Feb-Mar 2020 | -34% S&P 500, extreme vol |17| Global Financial Crisis | Sep 2008 - Mar 2009 | -57% from peak, credit freeze |18| Taper Tantrum | May-Sep 2013 | Rates spike, EM selloff |19| Tech Bubble Burst | Mar 2000 - Oct 2002 | -78% Nasdaq |20| Flash Crash | May 2010 | Intraday -9%, liquidity evaporation |21| European Debt Crisis | Apr-Jun 2010 | Sovereign risk, EUR weakness |22| China Deval / VIX Spike | Aug 2015 | CNY deval, -12% S&P 500 |23| Fed Tightening 2022 | Jan-Oct 2022 | +400bps rates, -25% S&P 500 |24| SVB / Banking Crisis | Mar 2023 | Regional bank failure, rates vol |25| Volmageddon | Feb 2018 | Short-vol unwind, -10% S&P 500 |2627## Workflow2829### Historical Stress Backtest3031Tool: `backtest_historical_stress` or `stress_scenario_analyzer`32331. Select scenario (or let user specify custom)342. Apply historical shocks to current portfolio positions353. Calculate portfolio-level impact3637### Custom Scenario Construction3839Tool: `scenario_sensitivity`4041Parameters:42- Shock type: "rates", "equity", "credit", "fx", "volatility"43- Magnitude: "+200bps", "-20%", "+100bps spread"44- Duration: "instantaneous", "over 3 months"4546### Result Presentation4748| Scenario | Portfolio Impact | Worst Sector | Best Sector | Recovery Time |49|----------|-----------------|-------------|------------|--------------|50| [Name] | -X.X% | [Sector] (-XX%) | [Sector] (+XX%) | X months |5152**Impact Waterfall**: Show contribution by sector/position to total portfolio loss.5354**Narrative Template**: "In a [scenario name]-like event, the portfolio would experience an estimated [X.X]% drawdown, driven primarily by [sector/factor] exposure. The [largest position] accounts for [X]% of the total impact. Recovery to pre-stress levels would take approximately [X] months based on historical precedent."5556## Stopping Points5758- After scenario selection: confirm scenario and portfolio with user before running analysis59- After results presented: pause for follow-up questions or custom scenario requests6061## Output6263Stress test results with scenario summary table, impact waterfall, and narrative explanation following the template above.
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