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Scenario / Stress Testing
		Predictive	:	Predictive Multivariate Conditional Correlation (P. Kupiec JOD 1998).
		StressCorrelation	:	Grouped  Correlation Stressor.

Do you want to know what can happen to, say the Euro STOXX,

if the S&P500 was to drop, say 10% ?  Look no further !

This add-in takes into account the structural relationship 

between assets to compute asset price changes of assets that are correlated to each other. 

View Application Note

Download Predictive Zip File

Zip file includes: Predictive.xll (Add-In), spreadsheet, on-line help and financial principle.

Download Individual Components:  

This module computes changes in correlation of one or multiple assets against a correlation target while preserving positive definiteness.

Are you seeking to stress a group of correlations that belong to a larger subset while setting an overall target level ?
Are you seeking to simulate correlation scenarios while preserving structural properties between groups of assets which you deem important ?
If so this module is ideally suited for your needs. 

View Application Note

Excel® C++ Add-in and Demo Spreadsheet with application manual and on-line help.

Download Stress Correlation Zip File

Zip file includes: StressCorrelation.xll (Add-In), spreadsheet, on-line help and financial principles.

Download Individual Components: