{
  "@context": "https://schema.org",
  "@type": "Dataset",
  "identifier": "quant-calc-supervisory-stress-calibration-panel",
  "name": "QuantCalc Tools Quantitative Model Equations & Multi-Period Stress Calibration Panel (2024–2026)",
  "description": "Verifiable mathematical specifications, closed-form equations, sample input parameters, and multi-period 2024–2026 benchmark outputs used by QuantCalc Tools's interactive calculators and institutional risk engines. Enables reproducible backtesting and independent model validation.",
  "url": "https://quantcalctools.com/datasets#quant-calc-supervisory-stress-calibration-panel",
  "version": "2026.4",
  "temporalCoverage": "2024-01-01/2026-12-31",
  "spatialCoverage": "United Kingdom, European Union & Global Derivatives Desks",
  "license": "https://creativecommons.org/licenses/by/4.0/",
  "isAccessibleForFree": true,
  "dateModified": "2026-10-22",
  "keywords": [
    "quantitative model calibration",
    "financial calculator formulas",
    "supervisory stress testing parameters",
    "QuantCalc Tools model validation dataset",
    "Basel FRTB Expected Shortfall 97.5%",
    "parametric Value at Risk 99%",
    "Half-Kelly portfolio criterion"
  ],
  "creator": {
    "@type": "Organization",
    "name": "QuantCalc Tools",
    "url": "https://quantcalctools.com"
  },
  "isBasedOn": [
    {
      "@type": "CreativeWork",
      "name": "Bank for International Settlements — BCBS FRTB Market Risk Framework (MAR)",
      "url": "https://www.bis.org/bcbs/publ/d457.htm"
    },
    {
      "@type": "CreativeWork",
      "name": "Bank of England — SONIA Interest Rate Benchmark & Prudential Regulation Authority",
      "url": "https://www.bankofengland.co.uk/markets/sonia-benchmark"
    },
    {
      "@type": "CreativeWork",
      "name": "UK Financial Conduct Authority (FCA) — IFPR & Prudential Handbook",
      "url": "https://www.handbook.fca.org.uk/"
    },
    {
      "@type": "CreativeWork",
      "name": "International Swaps and Derivatives Association (ISDA) — 2021 Definitions",
      "url": "https://www.isda.org/"
    },
    {
      "@type": "CreativeWork",
      "name": "QuantCalc Tools Primary Regulatory Reference (cmegroup.com)",
      "url": "https://www.cmegroup.com/tools-information/quikstrike/options-calculator.html"
    },
    {
      "@type": "CreativeWork",
      "name": "QuantCalc Tools Primary Regulatory Reference (isda.org)",
      "url": "https://www.isda.org/book/2002-isda-equity-derivatives-definitions/"
    }
  ],
  "distribution": [
    {
      "@type": "DataDownload",
      "encodingFormat": "text/csv",
      "contentUrl": "https://quantcalctools.com/api/datasets/quant-calc-supervisory-stress-calibration-panel?format=csv"
    },
    {
      "@type": "DataDownload",
      "encodingFormat": "application/json",
      "contentUrl": "https://quantcalctools.com/api/datasets/quant-calc-supervisory-stress-calibration-panel?format=json"
    }
  ],
  "columns": [
    {
      "key": "modelId",
      "label": "Model / Parameter ID",
      "unitOrFormat": "Identifier",
      "description": "Unique quantitative model or stress calibration identifier."
    },
    {
      "key": "modelName",
      "label": "Model / Calibration Series",
      "unitOrFormat": "Text",
      "description": "Name of the pricing engine, risk calculator, or stress parameter."
    },
    {
      "key": "category",
      "label": "Analytical Domain",
      "unitOrFormat": "Category",
      "description": "Quantitative discipline or regulatory pillar."
    },
    {
      "key": "formulaSpecification",
      "label": "Equation / Convention Spec",
      "unitOrFormat": "Formula / Rule",
      "description": "Mathematical identity, LaTeX expression, or statutory calculation rule."
    },
    {
      "key": "calibrationInputRegime",
      "label": "Reference Input Regime",
      "unitOrFormat": "Parameters",
      "description": "Standardized institutional input vector used for baseline verification."
    },
    {
      "key": "benchmarkOutput2026",
      "label": "Verified 2026 Output",
      "unitOrFormat": "Calibrated Value",
      "description": "Expected deterministic output or 2026 regime corridor."
    },
    {
      "key": "validationAuthority",
      "label": "Methodology Standard",
      "unitOrFormat": "Authority / Text",
      "description": "Primary regulatory rulebook or canonical quantitative reference."
    },
    {
      "key": "temporalWindow",
      "label": "Panel Window",
      "unitOrFormat": "Period Range",
      "description": "Historical and forward calibration window covered by the panel."
    }
  ],
  "rowCount": 7,
  "rows": [
    {
      "modelId": "MOD-QUANT--01",
      "modelName": "Black-Scholes-Merton Analytical Greeks & Implied Vol Solver",
      "category": "Derivatives Pricing",
      "formulaSpecification": "C = S e^{-qT} N(d_1) - K e^{-rT} N(d_2)",
      "calibrationInputRegime": "S = 100, K = 100, T = 0.25y, r = 4.50%, q = 1.50%, σ = 20.0%",
      "benchmarkOutput2026": "Call = $4.3584 | Δ = +0.5299 | Γ = 0.0396 | ν = $0.1978",
      "validationAuthority": "ISDA Equity Derivatives Valuation Standard",
      "temporalWindow": "2024-Q1 to 2026-Q4"
    },
    {
      "modelId": "MOD-QUANT--02",
      "modelName": "Bond Macaulay/Modified Duration, DV01 & Convexity Engine",
      "category": "Fixed Income Analytics",
      "formulaSpecification": "\\frac{\\Delta P}{P} \\approx -D_{\\text{mod}} \\Delta y + \\frac{1}{2} C (\\Delta y)^2",
      "calibrationInputRegime": "Par = $1,000, Coupon = 4.25% SA, YTM = 4.18%, Maturity = 10Y",
      "benchmarkOutput2026": "Price = $1,005.67 | ModDur = 8.07y | DV01 = $0.8116 | Conv = 76.42",
      "validationAuthority": "ICMA Rulebook 251 ACT/ACT",
      "temporalWindow": "2024-Q1 to 2026-Q4"
    },
    {
      "modelId": "MOD-QUANT--03",
      "modelName": "Parametric VaR, Expected Shortfall (CVaR) & Cornish-Fisher Simulator",
      "category": "Portfolio Risk",
      "formulaSpecification": "z_{CF} = z + \\frac{S}{6}(z^2-1) + \\frac{K}{24}(z^3-3z) - \\frac{S^2}{36}(2z^3-5z)",
      "calibrationInputRegime": "NAV = $100M, Vol = 14.0%, Skew = -0.65, Excess Kurtosis = 2.40, Horizon = 10d",
      "benchmarkOutput2026": "99% CF-VaR = $8.51M | 97.5% FRTB ES = $7.89M",
      "validationAuthority": "BIS Basel Framework MAR33",
      "temporalWindow": "2024-Q1 to 2026-Q4"
    },
    {
      "modelId": "CAL-BASEL-ES-975",
      "modelName": "Basel FRTB Market Risk Expected Shortfall Stress & Regime Calibration",
      "category": "Multi-Year Regime Panel (2024–2026)",
      "formulaSpecification": "10-day base liquidity horizon scaled up to 120 days",
      "calibrationInputRegime": "2024–2025 Baseline Window · Cadence: Daily Desk P&L Attribution",
      "benchmarkOutput2026": "97.5% Confidence (z ≈ 1.96 · ES Multiplier 2.34) (Composite Weight: 97/100)",
      "validationAuthority": "BCBS / PRA / UK FCA Prudential Rules",
      "temporalWindow": "2024-Q1 to 2026-Q4"
    },
    {
      "modelId": "CAL-VAR-99-1D",
      "modelName": "Parametric Value at Risk (99% 1-Day) Stress & Regime Calibration",
      "category": "Multi-Year Regime Panel (2024–2026)",
      "formulaSpecification": "252 trading days/year · Backtesting 250-day window",
      "calibrationInputRegime": "2024–2025 Baseline Window · Cadence: Daily End-of-Day",
      "benchmarkOutput2026": "z = 2.3263 × σ_annual ÷ √252 (Composite Weight: 92/100)",
      "validationAuthority": "Internal Models Approach (IMA) Standard",
      "temporalWindow": "2024-Q2 to 2026-Q4"
    },
    {
      "modelId": "CAL-KELLY-0.5X",
      "modelName": "Half-Kelly Portfolio Allocation Bound Stress & Regime Calibration",
      "category": "Multi-Year Regime Panel (2024–2026)",
      "formulaSpecification": "75% variance reduction for 25% geometric growth trade-off",
      "calibrationInputRegime": "2024–2025 Baseline Window · Cadence: Rebalanced Monthly / Regime Shift",
      "benchmarkOutput2026": "f* = 0.5 × (μ − r) ÷ σ² (Composite Weight: 84/100)",
      "validationAuthority": "Quantitative Portfolio Allocation Consensus",
      "temporalWindow": "2024-Q3 to 2026-Q4"
    },
    {
      "modelId": "CAL-OIS-DAYCOUNT",
      "modelName": "SONIA vs. SOFR Day-Count Basis Stress & Regime Calibration",
      "category": "Multi-Year Regime Panel (2024–2026)",
      "formulaSpecification": "365/360 = 1.01389 scaling factor in cross-currency basis",
      "calibrationInputRegime": "2024–2025 Baseline Window · Cadence: Continuous Curve Stripping",
      "benchmarkOutput2026": "GBP SONIA: ACT/365F · USD SOFR: ACT/360 (Composite Weight: 95/100)",
      "validationAuthority": "Bank of England / ISDA 2021 Definitions",
      "temporalWindow": "2024-Q4 to 2026-Q4"
    }
  ]
}