Stress-test (market risk under stress conditions)

This metric is similar to the previous one, except it focuses more on the stress-condition market risk metrics such as stress risk and CVaR and stability of trading volumes, again adjusted for market-cap and sector effects and trading history length. The highest score of 7 (i.e., very high stress-market risk relative to peers) means the abnormally fat left tail of return distribution and significantly above-average probability of sudden price falls.

For bonds, the same credit score and liquidity adjustments are applied, though a harsher set of scenarios is used.