Scenario Analysis Workbook
FINCAD has recently added a new Scenario Analysis Workbook that works with FINCAD Analytics Suite for Excel. The new workbook solution allows the user to specify multiple curve shift scenarios. The resulting curve can then be used to value the portfolio to see the effect.
As we've seen in the market, one of the problems that came out of this crisis is that people who thought they were stressing their portfolios really weren't. The Scenario Analysis Workbook allows users to put in their own scenarios for shocking the curve with no limits on the size of the shift.
Currently FINCAD Analytics Suite for Excel has a workbook that allows the user to shock individual points on a base curve. The new workbook allows our users to do multiple parallel shifts to the base curve and see the results. The pre-built workbook was designed for clients who want to conduct scenario analysis of their interest rate derivatives portfolio.
If you are a user with a valid support contract, click here to download the workbook or contact a FINCAD representative to request a trial.