{
  "@context": "https://schema.org",
  "@type": "Dataset",
  "identifier": "etf-yield-lab-supervisory-stress-calibration-panel",
  "name": "ETFYield Lab 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 ETFYield Lab's interactive calculators and institutional risk engines. Enables reproducible backtesting and independent model validation.",
  "url": "https://etfyieldlab.com/datasets#etf-yield-lab-supervisory-stress-calibration-panel",
  "version": "2026.4",
  "temporalCoverage": "2024-01-01/2026-12-31",
  "spatialCoverage": "United States, Ireland (UCITS) & Luxembourg",
  "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",
    "ETFYield Lab model validation dataset",
    "SEC Rule 6c-11 custom basket ETF",
    "US T-Bill ETF modified duration DV01",
    "Ireland UCITS 15% US dividend withholding tax"
  ],
  "creator": {
    "@type": "Organization",
    "name": "ETFYield Lab",
    "url": "https://etfyieldlab.com"
  },
  "isBasedOn": [
    {
      "@type": "CreativeWork",
      "name": "U.S. Securities and Exchange Commission — Rule 6c-11 Exchange-Traded Funds",
      "url": "https://www.sec.gov/rules/final/2019/33-10695.pdf"
    },
    {
      "@type": "CreativeWork",
      "name": "U.S. Department of the Treasury — Daily Treasury Bill & Par Yield Curve Rates",
      "url": "https://home.treasury.gov/resource-center/data-chart-center/interest-rates"
    },
    {
      "@type": "CreativeWork",
      "name": "Central Bank of Ireland (CBI) — UCITS & ICAV Fund Authorisation Frameworks",
      "url": "https://www.centralbank.ie/regulation/industry-market-sectors/funds"
    },
    {
      "@type": "CreativeWork",
      "name": "FINRA — Fixed Income & ETF Market Transparency Data",
      "url": "https://www.finra.org/filing-reporting/trace"
    },
    {
      "@type": "CreativeWork",
      "name": "ETFYield Lab Primary Regulatory Reference (cmegroup.com)",
      "url": "https://www.cmegroup.com/tools-information/quikstrike/options-calculator.html"
    },
    {
      "@type": "CreativeWork",
      "name": "ETFYield Lab Primary Regulatory Reference (isda.org)",
      "url": "https://www.isda.org/book/2002-isda-equity-derivatives-definitions/"
    }
  ],
  "distribution": [
    {
      "@type": "DataDownload",
      "encodingFormat": "text/csv",
      "contentUrl": "https://etfyieldlab.com/api/datasets/etf-yield-lab-supervisory-stress-calibration-panel?format=csv"
    },
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      "encodingFormat": "application/json",
      "contentUrl": "https://etfyieldlab.com/api/datasets/etf-yield-lab-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-ETF-YI-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-ETF-YI-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-ETF-YI-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-ETF-TER-CORE",
      "modelName": "Core US Equity & Treasury ETF Expense Ratio (TER) Stress & Regime Calibration",
      "category": "Multi-Year Regime Panel (2024–2026)",
      "formulaSpecification": "Daily NAV accrual (TER ÷ 365) · Sec-lending offset eligible",
      "calibrationInputRegime": "2024–2025 Baseline Window · Cadence: Daily NAV Deduction",
      "benchmarkOutput2026": "0.03% – 0.09% (3 to 9 bps Annual Drag) (Composite Weight: 97/100)",
      "validationAuthority": "SEC Form N-1A / ESMA UCITS KIID",
      "temporalWindow": "2024-Q1 to 2026-Q4"
    },
    {
      "modelId": "CAL-SEC-RULE-6C11",
      "modelName": "SEC Rule 6c-11 Custom Creation/Redemption Basket Stress & Regime Calibration",
      "category": "Multi-Year Regime Panel (2024–2026)",
      "formulaSpecification": "Daily website disclosure of full portfolio holdings & median bid-ask",
      "calibrationInputRegime": "2024–2025 Baseline Window · Cadence: Daily Pre-Market Basket Publication",
      "benchmarkOutput2026": "T+1 AP Settlement · In-Kind Tax Deferral (§852(b)(6)) (Composite Weight: 95/100)",
      "validationAuthority": "U.S. Securities and Exchange Commission (SEC)",
      "temporalWindow": "2024-Q2 to 2026-Q4"
    },
    {
      "modelId": "CAL-UST-TBILL-ETF",
      "modelName": "0–3 Month US T-Bill ETF Effective Duration & DV01 Stress & Regime Calibration",
      "category": "Multi-Year Regime Panel (2024–2026)",
      "formulaSpecification": "State & local income tax exempt on direct UST coupon/discount",
      "calibrationInputRegime": "2024–2025 Baseline Window · Cadence: Weekly T-Bill Auction Roll",
      "benchmarkOutput2026": "Modified Duration: 0.08 – 0.14 yrs · DV01 ≈ $0.01/100 (Composite Weight: 91/100)",
      "validationAuthority": "U.S. Treasury / FINRA Fixed Income Data",
      "temporalWindow": "2024-Q3 to 2026-Q4"
    },
    {
      "modelId": "CAL-UCITS-US-WHT",
      "modelName": "Ireland UCITS vs. Luxembourg SICAV US Dividend WHT Stress & Regime Calibration",
      "category": "Multi-Year Regime Panel (2024–2026)",
      "formulaSpecification": "~25–30 bps annual net performance pickup on S&P 500 physical ETFs",
      "calibrationInputRegime": "2024–2025 Baseline Window · Cadence: Quarterly Dividend Distribution",
      "benchmarkOutput2026": "Ireland ICAV: 15% WHT · Lux SICAV: 30% Physical WHT (Composite Weight: 93/100)",
      "validationAuthority": "US–Ireland Double Tax Treaty Art. 10 / CBI",
      "temporalWindow": "2024-Q4 to 2026-Q4"
    }
  ]
}