EXCELintermediate~50 min

Stress Test & Scenario Matrix

Revalue a book under prescribed factor shocks, build a scenario PnL grid and identify the worst case.

Task brief

README.md

# Stress Test & Scenario Matrix

**Role relevance:** Market Risk take-home
**Estimated time:** 50 minutes
**Difficulty:** Intermediate
**Format:** Excel (.xlsx)

## What you are given
- stress_test_scenario_matrix_starter.xlsx with the book sensitivities, an equity gamma term and six prescribed scenarios
- A Formula Help tab covering revaluation, worst-case lookup and reverse stress

## What you must deliver
1. A completed scenario PnL matrix with a total per scenario
2. The worst-case scenario, found by formula rather than by eye
3. The reverse-stress equity shock for the committee's threshold loss
4. A one-sentence read on what the worst case means

## Constraints & assumptions
Shocks are applied jointly within each scenario, never one factor at a time. Rates are in basis points, equity and FX in per cent, vol in vol points. Every cell must reference the input tabs.

## Submission note
Complete the starter file, then compare your work against the mark scheme.

What you'll learn

Revalue a book through its sensitivities under joint shocks
Apply a second-order gamma term on large moves
Answer a reverse-stress question from a target loss