trading-platform/docs/02-definicion-modulos/OQI-008-portfolio-manager/especificaciones/ET-PFM-003-stress-testing.md

ET-PFM-003: Motor de Stress Testing

Épica: OQI-008 - Portfolio Manager Versión: 1.0 Fecha: 2025-12-05 Estado: Planificado

---

Escenarios Predefinidos

const STRESS_SCENARIOS = {
  market_crash: {
    name: 'Market Crash',
    description: 'Caída del mercado tipo 2008/2020',
    impacts: {
      stocks: -0.30,
      crypto: -0.50,
      bonds: 0.05,
      gold: 0.10,
    },
  },

  recession: {
    name: 'Recesión Económica',
    description: 'Recesión prolongada',
    impacts: {
      stocks: -0.25,
      crypto: -0.40,
      bonds: 0.08,
      gold: 0.15,
    },
  },

  crypto_winter: {
    name: 'Crypto Winter',
    description: 'Caída prolongada de criptomonedas',
    impacts: {
      stocks: -0.05,
      crypto: -0.70,
      bonds: 0.02,
      gold: 0.05,
    },
  },

  rate_hike: {
    name: 'Subida de Tasas',
    description: 'Aumento agresivo de tasas de interés',
    impacts: {
      stocks: -0.15,
      crypto: -0.25,
      bonds: -0.10,
      gold: 0.00,
    },
  },
};

---

Servicio de Stress Testing

@Injectable()
export class StressTestService {

  async runScenario(
    portfolioId: string,
    scenarioId: string
  ): Promise<StressTestResult> {
    const positions = await this.portfolioService.getPositions(portfolioId);
    const scenario = STRESS_SCENARIOS[scenarioId];

    let totalImpact = 0;
    const positionImpacts = [];

    for (const position of positions) {
      const assetType = this.getAssetType(position.symbol);
      const impact = scenario.impacts[assetType] || -0.20;
      const positionImpact = position.marketValue * impact;

      totalImpact += positionImpact;
      positionImpacts.push({
        symbol: position.symbol,
        currentValue: position.marketValue,
        impact: positionImpact,
        impactPercent: impact * 100,
        projectedValue: position.marketValue + positionImpact,
      });
    }

    return {
      scenario: scenario.name,
      totalPortfolioValue: this.getCurrentValue(positions),
      totalImpact,
      totalImpactPercent: (totalImpact / this.getCurrentValue(positions)) * 100,
      projectedValue: this.getCurrentValue(positions) + totalImpact,
      positionImpacts: positionImpacts.sort((a, b) => a.impact - b.impact),
      timestamp: new Date().toISOString(),
    };
  }
}

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Referencias

• RF-PFM-002: Análisis de Riesgo

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Especificación técnica - Sistema NEXUS