PORTFOLIO RISK / SCENARIOS / COVERAGEREFERENCE EDITION / 16 OCTOBER 2026
Portfolio
Stress Testing

A defined shock. A traceable calculation.
A clear account of what remains outside the model.

Traceable References

Primary-source library

References support specific concepts; they do not certify this calculator or endorse the publication.

  1. FINRA: Duration - What an Interest Rate Hike Could Do to Your Bond Portfolio (official syndication)
  2. ECB: Report on banks' ICAAP practices, section 2.7 (2020)
  3. ECB: Guide on effective risk data aggregation and risk reporting (2024)
  4. Basel Committee: Principles for Sound Liquidity Risk Management and Supervision
  5. Basel Committee: Principles for effective risk data aggregation and risk reporting
  6. BIS: Principles for effective risk data aggregation and risk reporting (BCBS 239)
  7. BIS: Supervisory framework for measuring and controlling large exposures (2014)
  8. Basel Committee: Interest rate risk in the banking book, April 2016
  9. Basel Committee on Banking Supervision: Stress testing principles (2018)
  10. Basel Committee: Stress testing principles (2018), reverse testing and vulnerabilities
  11. Basel Committee: Minimum capital requirements for market risk, January 2019
  12. BIS Quarterly Review, December 2023: Markets adjust to higher for longer, Box A
  13. BCBS-CPMI-IOSCO: Review of margining practices, September 2022
  14. BCBS-IOSCO: Streamlining variation margin processes and initial margin responsiveness in non-centrally cleared markets, January 2025
  15. CFA Institute: Why you do not need to learn Greek to understand investment risk
  16. CFA Institute: Currency Management, An Introduction
  17. CFA Institute: Fixed-Income Active Management - Credit Strategies
  18. CFA Institute: Interest Rate Risk and Return
  19. CFA Institute: Measuring and Managing Market Risk
  20. CFA Institute: Options Strategies
  21. CFA Institute: Portfolio Performance Evaluation
  22. CFA Institute: Portfolio Risk and Return, Part I
  23. CFA Institute: Using Multifactor Models
  24. CFA Institute: Yield-Based Bond Convexity and Portfolio Properties
  25. Cloudflare privacy policy
  26. European Banking Authority: Guidelines on institutions' stress testing (2018), reverse stress testing
  27. European Central Bank: What are haircuts
  28. European Central Bank: Risk control measures for Eurosystem collateral
  29. ECB: Transmission mechanism of monetary policy
  30. European Central Bank: Euro foreign exchange reference rates and quote convention
  31. Financial Conduct Authority: Private market valuation practices (2025)
  32. Federal Reserve: Supervisory Guidance on Model Risk Management, revised interagency guidance of April 17, 2026
  33. Federal Reserve: Jeremy C. Stein, Incorporating Financial Stability Considerations into a Monetary Policy Framework (2014), discussion of the excess bond premium
  34. Federal Reserve: 2025 Stress Test Scenarios
  35. Federal Reserve: 2026 Stress Test Scenarios, hypothetical scenario versus forecast
  36. FINRA: Concentrate on Concentration Risk
  37. IMF: Macrofinancial Stress Testing - Principles and Practices (2012)
  38. IMF Working Paper 17/226: Liquidity Stress Tests for Investment Funds, A Practical Guide
  39. SEC Investor.gov: Fixed Income Investments - Interest Rate Risk
  40. SEC Investor.gov: Foreign Currency Exchange (Forex) Trading For Individual Investors, quoting conventions
  41. SEC Investor.gov: What Are Corporate Bonds?
  42. SEC Investor.gov: What Are High-yield Corporate Bonds?
  43. SEC Investor.gov: Asset Allocation and Diversification
  44. SEC Investor.gov: Bonds - FAQs, call risk
  45. SEC Investor.gov: International Investing
  46. Papa Parse: file parsing and export configuration
  47. SEC Office of Investor Education and Advocacy: Investor Bulletin, International Investing

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