{
      "tool_id": "qfa-03-stress-test-engine",
      "tool_version": "1.0.0",
      "display_name": "Stress Test Engine",
      "mcp_name": "compute_stress_test_scenarios",
      "mandate_type": "risk_parameter",
      "wave": 4,
      "gpu": true,
      "url": "https://ainumbers.co/chaingraph/qfa-03-stress-test-engine.html",
      "description": "Multi-scenario stress testing across 6 historical crisis scenarios (GFC 2008, COVID Mar 2020, Dot-com Bust, Lehman Week, Rate Shock 2022, SVB Contagion 2023) with Monte Carlo per scenario. Equity/credit/rate factor decomposition, stressed VaR and ES, stress multiplier, recovery-day estimate. Chains from QFA-02 (VaR Engine). Feeds RCA-01 (FRTB IMA). Basel 3.1 Pillar 2 ICAAP / EBA GL/2018/04 / FRTB MAR30 stress calibration reference.",
      "input_schema_ref": "chaingraph/qfa-03-stress-test-engine.html#manifest",
      "deadline": null,
      "deadline_note": "Basel III Pillar 2 ICAAP ongoing; EBA GL/2018/04 stress scenario guidelines; FRTB-IMA UK Jan 2028 pre-validation",
      "consumes": [
        "qfa-02-portfolio-var-engine"
      ],
      "feeds": [
        "rca-01-frtb-ima-pre-validator",
        "ptg-01-ap2-prompt-template-generator"
      ],
      "status": "live",
      "conformance_fixtures": false,
      "compute_capability": "server",
      "compute_proof_ready": "ready",
      "compute_images": [
        {
          "system": "sha256-source",
          "image_id": "sha256:16acc10c94489a5127aab924048c6903c4df2ac6bb1acb5f2d1b2ed1982769d4",
          "valid_from": "2026-07-12"
        },
        {
          "system": "risc0",
          "image_id": "sha256:a1a0bc89b5b1febaeda3519f6dbade0fa5ac16beeb143c4e1b01689573567bc6",
          "valid_from": "2026-07-12"
        }
      ],
      "compute_proof": {
        "type": "ZkVmReceipt",
        "system": "risc0",
        "receiptFormat": "groth16-bn254",
        "imageId": "sha256:a1a0bc89b5b1febaeda3519f6dbade0fa5ac16beeb143c4e1b01689573567bc6",
        "seal": "IZqDvW/PgSaalNFW/khXUuNU/nbOYx3J/+gz4U1q02wI/zLbdrInxjxp9XfXjLIDxe5v5GHF3zchL14JBBohLgqWQjgPySv2JInlFpDSL0GWcdeCHczWQDHlJCHNVn9AFzb++FI0aoIY3tm4DfZQIyQI3R6Lgxw27fpAlXnt5gsrPVjByHvSgBxv7eEfpcDjAbLKpGdcaKLGWZHqif4VMyVc5I1CeObNoUnTcfMP4zJgcp5KQ4Uw8gC5U0ARaYVxEwBMDZxJswAcWrRotLKLFWOEL+AD3zHVZBUfz31aKmYqVKrh51lRxdfEg0MTwKJrV+/rOX0tV9qPvWcGfADDmw==",
        "journal": {
          "chaingraph_version": "0.4.0",
          "kernel_digest": "sha256:16acc10c94489a5127aab924048c6903c4df2ac6bb1acb5f2d1b2ed1982769d4",
          "output": {
            "compliance_flags": [
              "PILLAR2_CAPITAL_BUFFER_REQUIRED",
              "EBA_GL_2018_04_STRESS_TEST_APPLIED",
              "BASEL3_PILLAR2_ICAAP_STRESS_ASSESSED"
            ],
            "max_drawdown": 0.462,
            "normal_var_pct": 0.064241,
            "recovery_days_estimate": 6160,
            "scenario_details": [
              {
                "creditLoss": 0.15,
                "creditShock": 0.06,
                "equityLoss": 0.252,
                "equityShock": -0.42,
                "horizon": 10,
                "id": "gfc_2008",
                "label": "GFC Peak (Oct 2008)",
                "rateLoss": 0.06,
                "rateShock": -0.02,
                "recoveryDays": 6160,
                "stressedES": 0.708522,
                "stressedVar": 0.679456,
                "totalLoss": 0.462,
                "volMult": 3
              },
              {
                "creditLoss": 0.075,
                "creditShock": 0.03,
                "equityLoss": 0.204,
                "equityShock": -0.34,
                "horizon": 10,
                "id": "covid_2020",
                "label": "COVID Crash (Mar 2020)",
                "rateLoss": 0.045,
                "rateShock": -0.015,
                "recoveryDays": 4320,
                "stressedES": 0.541549,
                "stressedVar": 0.52097,
                "totalLoss": 0.324,
                "volMult": 2.8
              },
              {
                "creditLoss": 0.03,
                "creditShock": 0.012,
                "equityLoss": 0.27,
                "equityShock": -0.45,
                "horizon": 20,
                "id": "dotcom_bust",
                "label": "Dot-com Bust (2000–02)",
                "rateLoss": 0.075,
                "rateShock": -0.025,
                "recoveryDays": 5000,
                "stressedES": 0.614064,
                "stressedVar": 0.598109,
                "totalLoss": 0.375,
                "volMult": 2.2
              },
              {
                "creditLoss": 0.0875,
                "creditShock": 0.035,
                "equityLoss": 0.06,
                "equityShock": -0.1,
                "horizon": 5,
                "id": "lehman_week",
                "label": "Lehman Week (Sep 2008)",
                "rateLoss": 0.015,
                "rateShock": 0.005,
                "recoveryDays": 2167,
                "stressedES": 0.426933,
                "stressedVar": 0.387848,
                "totalLoss": 0.1625,
                "volMult": 4.5
              },
              {
                "creditLoss": 0.045,
                "creditShock": 0.018,
                "equityLoss": 0.12,
                "equityShock": -0.2,
                "horizon": 20,
                "id": "rate_shock",
                "label": "Rate Shock (2022)",
                "rateLoss": 0.12,
                "rateShock": 0.04,
                "recoveryDays": 3800,
                "stressedES": 0.484122,
                "stressedVar": 0.464884,
                "totalLoss": 0.285,
                "volMult": 1.8
              },
              {
                "creditLoss": 0.05,
                "creditShock": 0.02,
                "equityLoss": 0.18,
                "equityShock": -0.3,
                "horizon": 5,
                "id": "svb_2023",
                "label": "SVB Contagion (Mar 2023)",
                "rateLoss": 0.015,
                "rateShock": 0.005,
                "recoveryDays": 3267,
                "stressedES": 0.384756,
                "stressedVar": 0.372546,
                "totalLoss": 0.245,
                "volMult": 2.4
              }
            ],
            "scenario_losses": {
              "covid_2020": 0.324,
              "dotcom_bust": 0.375,
              "gfc_2008": 0.462,
              "lehman_week": 0.1625,
              "rate_shock": 0.285,
              "svb_2023": 0.245
            },
            "stress_multiplier": 10.8726,
            "stressed_es_pct": 0.731728,
            "stressed_var_pct": 0.698464,
            "verdict": "HIGH_STRESS_EXPOSURE",
            "worst_case_loss": 0.462,
            "worst_case_scenario": "gfc_2008"
          }
        }
      },
      "export_capability": [
        "xlsx",
        "csv",
        "pdf",
        "xbrl:ocg-ext"
      ]
    }