What is a DFAST stress test?

Dodd-Frank Act Stress Test (DFAST) requires US bank holding companies to project capital ratios under hypothetical baseline, adverse, and severely adverse macroeconomic scenarios over a 9-quarter horizon.

What equity decline does the severely adverse scenario typically assume?

The Fed's severely adverse scenario typically projects a 40-50% US equity market decline from peak, representing a scenario comparable to the 2008-2009 financial crisis or dot-com bust.

Regulatory Portfolio Stress Scenario Calculator

Apply regulatory stress scenarios (DFAST, EBA, PRA) to investment portfolios. Calculate portfolio P&L under adverse and severely adverse macroeconomic scenarios including GDP shocks, rate shocks, credit spread widening, and equity crashes.

Principal ($)

Annual Rate (%)

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Compounding / Year

$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.

How to Use

Enter the values for the scenario you are assessing. Apply regulatory stress scenarios (DFAST, EBA, PRA) to investment portfolios. Calculate portfolio P&L under adverse and severely adverse macroeconomic scenarios including GDP shocks, rate shocks, credit spread widening, and equity crashes. Use the regulatory stress result to inform your calculation.

Regulatory Portfolio Stress Scenario Calculator

How to Use

Frequently Asked Questions

What is a DFAST stress test?

What equity decline does the severely adverse scenario typically assume?