Simulated Net P&L Hit
-$15.18B
Max Drawdown: -33.7%
Order Book Slippage Loss
-$4.85B
31.9% of Total Losses
Margin Cascade Steps
4 Steps
Peak Margin Mult: 2.85x
Residual Net Exposure
$18.2B
Deleveraged: -59.5%
Liquidation Sequence Replay
T+0: Primary AI Factor Liquidity Shock
Immediate -22.5% gap down in core AI basket positions. High crowding factor accelerates initial order book depth evaporation.
Cumulative P&L Drawdown Path ($B)
T+0 to T+5
Factor Beta & Cross-Correlation Drift
Hedge Breakdown
Factor Risk Attribution & Stress Breakdown
| Strategy Leg / Factor | Initial Gross ($B) | Net Exposure ($B) | Shock P&L ($B) | Slippage Drag ($B) | Total Loss ($B) | Status |
|---|