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Quantitative Finance · المسرد

ما معنى Historical scenario؟

Definition 22.2 Rates, Credit, XVA and Risk · الفصل 22 — Stress Testing and Scenarios

A historical scenario applies to today’s positions the moves the risk factors made over a past period: differences for rates and spreads, relative changes for prices.

Losses of chapter 21’s book under three historical scenarios, against its ten-day 99% VaR. Each episode costs two to three times the VaR. Data: US Treasury par yields, ECB reference rates; the chapter’s tutorial.
Figure 22.1. Losses of chapter 21’s book under three historical scenarios, against its ten-day 99% VaR. Each episode costs two to three times the VaR. Data: US Treasury par yields, ECB reference rates; the chapter’s tutorial.

أمثلة

Example 22.3 (Three episodes on one book)

Chapter 21’s book (long ten-year Treasuries, short two-year, long euros, short yen, short a EURUSD straddle), revalued in full under three periods of Treasury and ECB data:

  • Lehman, 12 September to 10 October 2008: two-year yield −61-61 basis points, ten-year +15+15, EURUSD −3.52%-3.52\%, USDJPY −7.85%-7.85\%; a loss of USD 17.26 million;
  • March 2020, 6 to 20 March: −12-12 and +18+18 basis points, EURUSD −5.71%-5.71\%, USDJPY +5.11%+5.11\%; a loss of USD 20.13 million;
  • September 2022, 21 to 28 September: +5+5 and +21+21 basis points, EURUSD −3.50%-3.50\%, USDJPY +0.46%+0.46\%; a loss of USD 11.61 million.

The ten-day 99% historical VaR scaled from chapter 21 is USD 6.63 million: every episode loses two to three times as much (Figure 22.1). The short straddle, harmless on normal days, dominates the losses in all three.

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