Portfolio stress testing
See how a portfolio responds when conditions change.
Portfolio Risk Profiler applies GALM economic scenarios to a portfolio or proposed allocation. Explore potential vulnerabilities, compare paths, and investigate what drives the result.
What could the next market shift reveal?
Higher yields, wider credit spreads, falling equities, and persistent inflation rarely arrive in isolation. Their sequence can matter as much as their final level.
Portfolio Risk Profiler uses GALM economic scenario paths, then examines how modeled portfolio exposures respond through time.
Portfolio Risk Profiler workspace
Set up a portfolio analysis
US multi-asset portfolio
Examine an allocation across connected economic scenarios.
Allocation and mapping
Four positions mapped to model exposures.
| Allocation | Model proxy | Weight |
|---|---|---|
| US equities | Equity index | 40% |
| Core bonds | AGG | 35% |
| Long Treasuries | TLT | 15% |
| Treasury cash | CASH_3M | 10% |
| Total | 100% |
USD multi-asset
GALM economic scenario paths.
Market factors
Review the scenario assumptions before interpreting portfolio outcomes.
Review the analysis setup
Check the portfolio mapping and scenario settings before submitting a run.
Portfolio outcomes
From a scenario path to a portfolio question
Different paths, different outcomes
Portfolio value paths
Where to investigate
Potential drivers in a stressed path
- Rates and duration
- Equity exposure
- Credit spreads
Need scenario paths for asset and liability models?
The GALM Economic Scenario Generator creates the connected economic scenarios used by Portfolio Risk Profiler. Those scenarios can also support cash flow and asset models.
Explore GALM Economic ScenariosResearch example
See the approach in context
Our Nigerian pension fund study examines modeled asset portfolios under alternative interest-rate regimes.
Read the analysis