Stress Testing

The PolyPaths fixed income platform provides a solution designed with the requirements of modern bank stress testing, including CCAR and DFAST (Dodd-Frank Act Stress Test) supervisory scenarios published by the Federal Reserve. Using the PolyPaths system, market value and risk can be calculated across these or any scenario defined using our flexible framework. Scenarios can be defined based on shifts to many common spreads and term structures used in fixed-income analysis including yield curves, volatility surfaces, current coupon term structures, and pricing spreads (OAS). Calculations and reports can be generated ad-hoc or scheduled using our command-line utility or Enterprise add-on.

To see how our platform can be integrated into your workflow and to schedule an interactive demonstration, please contact