Systems and methods for evaluating basis risk associated with index based security instruments. The systems and methods calculating an element factor for each of a plurality of elements based on a modeled company loss for a plurality of events and an industry loss for the plurality of events, calculating a company loss for each element based on the element factor and an industry loss for each of the corresponding elements for each of a plurality of events, comparing the company loss for each element to the modeled company loss for each element for each of the events, wherein the comparing occurs within a layer of interest to determine a basis risk for each of the events and outputting a monetary value of the basis risk for each of the events based on each of the elements.