Multi-factor risk decomposition and stress testing for a live book — the kind of analytics infrastructure most desks license from platforms like Axioma, built as a self-contained engine instead.
| Scenario | Portfolio P&L | Worst contributor | Limit |
|---|---|---|---|
| 2008 crisis replay | -$3.4M | Financials beta | Breach |
| Rates +100bp | -$1.2M | Duration | Pass |
| Tech selloff -15% | -$2.6M | Momentum factor | Pass |
| USD +10% | -$0.4M | Currency | Pass |