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Run Fed DFAST/CCAR and custom macro scenarios against a market/asset position. Impact factors compound multiplicatively across engines.
What backs these numbers today: severity-calibrated impact factors per engine (baseline / adverse / severely adverse / custom). Custom scenarios currently map to the “custom” severity factor set regardless of the magnitudes entered. Per-engine transmission of specific shock magnitudes is not implemented, and not pending — we built the engine to measure it and it did not validate: conditioning on a macro shock, even knowing its realised value in advance, produced worse forecasts than not conditioning at all, in every asset class at every horizon tested.