Documentation / Risk Factor Categories & Shock Units
Risk Factor Categories & Shock Units
100+ risk factors across 8 categories — equities, rates, FX, commodities, credit, volatility, macro, and inflation. Primary and secondary shock classification.
Table of Contents
What Are Risk Factors?
Risk factors are the financial variables that stress scenarios measure. They represent key indicators across the global economy — from stock market indices to interest rates, currencies, and commodity prices. Each risk factor has a current real-world value, and a stress scenario projects how that value would change under the hypothetical event.
Risk Factor Categories
StressGen tracks over 100 risk factors across eight categories:
| Category | Examples |
|---|---|
| Stock Indices | S&P 500, NASDAQ, FTSE 100, Nikkei 225, Euro Stoxx 50 |
| Interest Rates | US Treasury 2Y/5Y/10Y/30Y, Fed Funds Rate, ECB Rate, SOFR, TGCR, OBFR |
| Currencies | EUR/USD, GBP/USD, USD/JPY, USD Index |
| Commodities | WTI Crude Oil, Gold, Natural Gas, Copper |
| Credit Spreads | Investment Grade, High Yield, Emerging Market spreads |
| Volatility | VIX (equity volatility), MOVE Index (bond volatility) |
| Economic Indicators | GDP Growth, Unemployment Rate, Consumer Price Index |
| Policy Rates | Federal Funds Rate, ECB Deposit Rate, Bank of England Rate |
How Shocks Work
A "shock" is the projected change to a risk factor under the stress scenario. For example, if the S&P 500 is currently at 5,000 and the scenario projects a 20% decline, the shock is -20%.
Shocks are expressed differently depending on the risk factor type:
- Percentage change — Used for stock indices, currencies, and commodities (e.g., -15%)
- Basis point change — Used for interest rates and credit spreads (e.g., +150 bps)
- Absolute change — Used for indicators like unemployment rate (e.g., +2.5 percentage points)
Primary & Secondary Shocks
StressGen distinguishes between two types of shocks:
- Primary shocks — The direct, first-order impacts of the stress event. These are the risk factors most immediately affected — for example, a rate hike scenario would primarily shock interest rates and equity indices.
- Secondary shocks — The knock-on effects that ripple through connected markets. The AI calculates these based on historical relationships between risk factors — for example, an equity sell-off typically causes volatility to spike and credit spreads to widen.
Severity Levels
Scenarios can target different severity levels, from mild to severely adverse:
| Severity | Description | Typical Equity Impact |
|---|---|---|
| Baseline | Expected economic path with no significant stress | -5% to +5% |
| Adverse | A meaningful economic downturn or market disruption | -15% to -25% |
| Severely Adverse | A deep recession or financial crisis comparable to 2008 | -30% to -50% |
Risk Factor Registry
The Risk Factor Registry is your central reference for all tracked risk factors. You can browse the full list in the application, filter by category, and see each factor's display name, category, and associated tickers. The registry also supports aliases, so you can refer to the same factor by different names (for example, "S&P 500", "SPX", and "SP500" all refer to the same risk factor).