Market Risk Engine (VaR/ES)
Firm-wide Value-at-Risk and Expected Shortfall, aggregated across every trading desk
Firm VaR (99%, 1-day)
$18.4M
Firm Expected Shortfall (97.5%)
$25.8M
Backtesting Exceptions (250d)
3
Desks Currently in Breach
1
| Desk | VaR (99%, 1d) | ES (97.5%) | Limit | Utilization | Status |
|---|---|---|---|---|---|
| G10 Rates Desk | $3.1M | $4.4M | $5.0M | 62% | Within Limit |
| APAC Rates Desk | $4.2M | $5.9M | $3.5M | 120% | Breach |
| Credit Trading Desk | $2.8M | $3.9M | $4.0M | 70% | Within Limit |
| FX Spot & Forwards Desk | $1.6M | $2.2M | $3.0M | 53% | Within Limit |
| FX Options Desk | $2.9M | $4.1M | $3.2M | 91% | Watch |
| Equity Derivatives Desk | $3.8M | $5.3M | $4.5M | 84% | Watch |
About This Agent
Data on This Page
Desk-level 1-day 99% VaR and 97.5% Expected Shortfall against assigned limits, with per-desk utilization and status. Stat tiles roll up firm VaR ($18.4M), firm ES ($25.8M), trailing 250-day backtesting exceptions, and desks currently in breach.
What This Agent Does
Recalculates VaR and Expected Shortfall intraday and overnight across every desk using historical simulation, runs daily Kupiec/Christoffersen backtesting, flags P&L attribution breaks, and feeds desk-level exposure straight into the Limits & Breach Monitoring and Hedging Advisory agents.
Worked Examples
- APAC Rates Desk VaR spiked to $4.2M (120% of its $3.5M limit) after an overnight JGB curve shock, triggering an automatic breach escalation.
- FX Options Desk moved to 91% utilization following a large gamma position added ahead of a central bank rate decision.
- Firm ES/VaR ratio of 1.40 remains within the 1.3–1.5 band the desk uses to sanity-check tail-risk model stability.