The Proof Is In The Pudding: How portfolio crash testing worked for me.

In the last post I discussed my history using Portfolio Crash Testing’s (PCT) big brother, Riskostat. Riskostat shares the same DNA with PCT, but Riskostat contains more features like risk factor decompositions, marginal contributions to risk, etc. All the things that quant geeks require in a system. But PCT makes the information more accessible and easier to incorporate in a conversation with a client. It also contains the most important feature of Riskostat: Crash testing (aka scenario analysis). In this post I will dive into one of the key events that convinced me that crash testing really works.


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