OPERA Stress Tests

The following stress tests are provided for Open Protocol Enabling Risk Aggregation (OPERA) reporting.

Simple stress tests

The following stress tests are all simple stress tests (see Stress Test for definitions of simple and predictive stress tests).

Equity +10% (OPERA)

In this stress test, the price of all equity securities are increased by 10%. For derivatives where the underlying security is an equity, the price of the underlying equity is increased by 10%. No other prices or parameters are altered.

Equity −10% (OPERA)

In this stress test, the price of all equity securities are decreased by 10%. For derivatives where the underlying security is an equity, the price of the underlying equity is decreased by 10%. No other prices or parameters are altered.

Commodity +10% (OPERA)

In this stress test, the price of all commodity securities are increased by 10%. For derivatives where the underlying security is a commodity, the price of the underlying commodity is increased by 10%. No other prices or parameters are altered.

Commodity −10% (OPERA)

In this stress test, the price of all commodity securities are decreased by 10%. For derivatives where the underlying security is a commodity, the price of the underlying commodity is decreased by 10%. No other prices or parameters are altered.

Convertible Bonds +10% (OPERA)

In this stress test, the price of all convertible bonds are increased by 10%.

Convertible Bonds -10% (OPERA)

In this stress test, the price of all convertible bonds are decreased by 10%

Currency +10% (OPERA)

In this stress test, the all exchange rates are increased by 10%. For derivatives where the underlying security is an exchange rate, the underlying exchange is increased by 10%. No other prices or parameters are altered.

Currency −10% (OPERA)

In this stress test, the all exchange rates are decreased by 10%. For derivatives where the underlying security is an exchange rate, the underlying exchange is decreased by 10%. No other prices or parameters are altered.

Implied Vol +10% (OPERA)

In this stress test, the implied volatilities of all options are increased by 10%. For example, if the implied volatility of a security is 20%, the implied volatility is increased to 22%. No other prices or parameters are altered.

Implied Vol −10% (OPERA)

In this stress test, the implied volatilities of all options are decreased by 10%. For example, if the implied volatility of a security is 20%, the implied volatility is decreased to 18%. No other prices or parameters are altered.

Sovereign Rates +10% (OPERA)

In this stress test, all interest rates are increased by 10%. For example, if the current interest rate is 5.00%, the rate would be increased to 5.50%. Only fixed income securities are impacted. No other prices or parameters are altered.

Sovereign Rates −10% (OPERA)

In this stress test, all interest rates are decreased by 10%. For example, if the current interest rate is 5.00%, the rate would be decreased to 4.50%. Only fixed income securities are impacted. No other prices or parameters are altered.

Credit Spreads +10% (OPERA)

In this stress test, all credit spreads are increased by 10%. For example, if the current credit spread is 5.00%, the spread would be increased to 5.50%. Only corporate bonds, municipal bonds and credit default swaps and their derivatives are impacted. No other prices or parameters are altered.

Credit Spreads −10% (OPERA)

In this stress test, all credit spreads are decreased by 10%. For example, if the current credit spread is 5.00%, the spread would be decreased to 4.50%. Only corporate bonds, municipal bonds and credit default swaps and their derivatives are impacted. No other prices or parameters are altered.