An exciting part of this latest version of the RiskAPI Add-In is the addition of several new Market Macro keywords that enable instant portfolio stress testing. Click on the image below to view a quick demo of the stress test in action.

Click here to view the market macro stress test in action.

The system applies user-defined underlier price and implied volatility stresses and re-evaluates positions to determine individual and total P&L impacts. In addition, a very handy feature is the ability to select hypothetical index moves and see how these translate into potential moves in an equity, future, or option position. For example, users can input a hypothetical 3% drop in the S&P 500. The system will translate this into corresponding moves in each option underlier (or direct equity position) and then re-evaluate the entire portfolio based on these moves. The result is a P&L impact identifying whether the portfolio would lose money or not.

The results above were calculated using The RiskAPI Add-In, our unique software client which allows fund managers to access a whole spectrum of on-demand portfolio risk analysis calculations.

2011 was quite the year and we have the numbers to prove it. Below is a trailing one-month realized volatility chart for the S&P 500 index. Of note is the spike in August into September, which coincided with some of the worst news from the EU debt crisis hitting the wires:

With a Greek default deadline looming once again in February, 2012 should be no less interesting.

The results above were calculated using The RiskAPI Add-In, our unique software client which allows fund managers to access a whole spectrum of on-demand portfolio risk analysis calculations.

As all eyes have been on the debt crisis in Europe, increasingly volatile US equity market gyrations have continued unabated. If there were any doubt as to the nature of these daily triple-digit Dow moves and double-digit SP500 moves, one need only look at the recent spike in SP500/EUR correlation. Presented below is a chart showing trailing 1-month correlation of the US market Vs. the Euro.

It will be interesting to see if the recent correlation high of 0.816 is breached and/or if this will be a harbinger of perfect correlation (i.e. 1.0) between the Euro currency and the US stock market.

The results above were calculated using The RiskAPI Add-In, our unique software client which allows fund managers to access a whole spectrum of on-demand portfolio risk analysis calculations.