Stress Calibration PL Trades
This file contains simulated PL vectors over a long historical observation window, as well as position and scenario attributes to calibrate the stress period. The file includes both IMCC and SES simulated PL vectors.
Stress Calibration Scenario FX Rates
This file provides FX spot rates used in stress calibration ES scenarios.
Stress Calibration Scenarios
Describes date assigned to each index of historical PnL vector in stress calibration trades file