Risk Scenarios

Risk Scenarios Report

This report , under the Scan section, shows the different Risk Scenarios that comprise the risk array calculations, called scan points. Under the Delta section, the report shows the different Composite Delta scenarios. Additionally, it shows the all of the elements that make up the Price and Volatility Scan Range definitions

Rate ID: Span assigns an internal Scan Rate ID.

Type: Shows the scenarios as either Scanning or Composite Delta scenarios.

Scenario #: The Scenario #'s individually identify each one of the different scenarios.

Price: The Price Scan Definitions for the scenarios in the Risk Array. The price scan definition contains the following elements:

Mult - The Price Scan Range multiplier
Num - The numerator element of the Price Scan Range
Denom - The denominator element of the Price Scan Range

Volatility: The Volatility Scan Definitions for the scenarios in the Risk Array. The volatility scan definition contains the following elements:

Mult - The Volatility Scan Range multiplier
Num - The numerator element of the Volatility Scan Range
Denom - The denominator element of the Volatility Scan Range

Weight: The weighting factor - for a Scan point, the weighting factor is the percentage amount by which the scenario is multiplied to arrive at a result. For a Delta point, the factor is the probability weight given for that scenario.

Paired Scenario: With the exception of scenario #'s 15 and 16, each scenario has a paired scenario. In the paired scenarios, the underlying price moves are the same, but the volatility moves are opposites. For example, in paired scenarios 7 and 8, we see that in both scenarios, the underlying's price multiplier is .6667, or the price goes up 2/3 of the Price Scan Range. However, the volatilities for this pair move in opposite directions, up and down the Volatility Scan Range. The paired scenarios are grouped together for the Composite Delta scenarios.