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Example Project: Stress Testing

Client Brief

The client, an insurance company, wished to identify and implement a solution allowing various stresses to be applied to its bond portfolio, and associated changes in fair value to be reported and tabulated. The client had a hard deadline since the reports were to form part of its regulatory reporting.

QuantVal Solution

QuantVal first developed a methodology for categorising each bond in the portfolio, then moved on to valuation using the client’s preferred (third-party) suite of models. Various methods of input perturbation were developed and implemented to ensure that the whole portfolio could be stress-tested from a single button in Excel.