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This section describes the input files used for Stress Calibration. It covers the PL Trades, Scenario FX Rates, and Scenarios files.

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 the date assigned to each index of the historical P&L vector in the stress calibration trades file.