Documentation / Portfolio Sensitivity & Exposure Tracking

Portfolio Sensitivity & Exposure Tracking

Track portfolio sensitivities with daily snapshots and per-risk-factor delta, gamma, and vega exposures. Supports 9 strategy types.

Table of Contents

What Are Portfolios?

Portfolios in StressGen represent your trading books or investment strategies. Rather than tracking individual holdings, StressGen tracks your portfolio's sensitivity to risk factors — how much your P&L would change if a given risk factor moves.

This sensitivity-based approach is the standard in institutional risk management. It lets you connect your portfolios directly to stress test scenarios to see projected P&L impacts without exposing individual position details.

Portfolio Strategies

Each portfolio is assigned a strategy that describes its investment approach:

Strategy	Description
Long Equity	Long-only equity positions in stocks and indices.
Short Equity	Short-biased equity positions for hedging or directional bets.
Rates Trading	Interest rate products — bonds, swaps, futures.
Credit Trading	Corporate bonds and credit derivatives.
FX Trading	Currency pairs and FX derivatives.
Multi-Asset	Diversified strategies spanning multiple asset classes.
Macro	Global macro strategies driven by economic themes.
Options	Options and volatility-focused strategies.
Mixed	General-purpose or unclassified portfolios (default).

Creating a Portfolio

1Navigate to the Portfolios page and click "New Portfolio."
2Enter a name and optional description for your portfolio.
3Select the strategy that best describes its investment approach.
4Save the portfolio. You can then start adding daily snapshots.

Snapshots & Exposures

A snapshot captures your portfolio's risk factor sensitivities on a specific date. You can have one snapshot per day per portfolio — matching the industry standard of end-of-day risk reporting.

Each snapshot contains exposures — one per risk factor your portfolio is sensitive to. Each exposure records:

Delta — First-order sensitivity — how much your P&L changes per unit move in the risk factor.
Gamma — Second-order sensitivity (convexity) — how delta itself changes as the risk factor moves.
Vega — Volatility sensitivity — relevant for options and volatility-linked positions.

Exposure units depend on the risk factor type:

$/bp — Dollars per basis point, for interest rates and credit spreads
$/1% — Dollars per 1% move, for equities, FX, and macro indicators
$/pt — Dollars per point, for volatility indices like VIX

Validation

When adding exposures, every risk factor is validated against the platform's registry. If a factor name doesn't match, you'll see a clear error listing the unrecognized entries so you can correct them.

Analytics

The portfolio detail page includes analytics to help you understand how your risk profile evolves:

Time series — Track a single risk factor's sensitivity over time. See how your delta or gamma to a specific factor has trended across snapshots.
Exposure matrix — A pivoted view showing all your risk factor exposures across dates. Dates run along one axis, risk factors along the other.
Aggregate exposure — Your top risk factor exposures across all portfolios, with optional filtering by strategy.

Audit Trail

All portfolio actions are logged. Every create, update, and delete event is recorded with the user, timestamp, and action details. This supports compliance requirements and gives your team visibility into who changed what and when.