Market Risk Report

Report AS-OF: 2026-05-15  |  Market data AS-OF: 2026-05-15 (safe: 2026-05-15)  |  Report generated: 2026-05-18 13:08 CEST
Consolidated Trading Book (Toy) — Rates / FX / Credit

TOTAL VaR (99%)
0.004055
TOTAL ES (97.5%)
0.003839
Stressed VaR (99%)
0.007599
SVaR / VaR: 1.87×
Stressed ES (97.5%)
0.009105
Fixed stress window calibration
Model Capital (Proxy)
0.013658
1.5 × max(ES, Stressed ES)
RNIM Add-on (Proxy)
0.002276
Liquidity + concentration + JTD + correlation overlays
Capital incl. RNIM
0.015934
VaR Limit Utilization
84.8%
Limit: 0.004780 (0.3 × Capital) • Status: NEAR LIMIT

Backtesting: No exception  •  Exceptions (250d): 0  •  Kupiec p-value: 0.025

Diversification Benefit (VaR): 0.002453 (sum desks 0.006508 − total 0.004055)
Diversification Benefit (ES): 0.002635 (sum desks 0.006474 − total 0.003839)

VaR Trend

Diversification Trend

Rolling Exceptions

Desk Risk Snapshot — Latest Available

desk VaR_99 ES_97_5
FX 0.003555 0.003548
Credit 0.001915 0.001852
Rates 0.001037 0.001074

Desk breakdown uses the latest risk metrics date ≤ as-of.

Scenario Stress Testing

Worst Scenarios (Total P&L Impact)

Rank Scenario Type Notes Total Stress P&L
1 FX_EURUSD_-15pct risk_factor EUR depreciates vs USD. -0.037500
2 Macro_Combined mixed Severe macro: rates sell-off, spread widening, FX moves. -0.018500
3 Credit_IG_+150bp risk_factor IG spread widening proxy via LQD return shock. -0.018000
4 Historical_WorstDay_Window ticker Worst realized total P&L day between 2020-02-15 and 2021-03-31: 2020-03-19 -0.015404
5 FX_USDJPY_+10pct risk_factor USD strengthens vs JPY (USDJPY up). -0.010000
6 Rates_Parallel_200bp risk_factor Simple proxy: rates sell-off; larger impact at long end. 0.008500
7 Rates_Steepener risk_factor Steepening shock: long end worse than belly. 0.011000
8 Credit_HY_+400bp risk_factor HY spread widening proxy via HYG return shock. 0.024000

Scenarios are explicit shocks (return-space proxies). Negative values indicate losses for the consolidated book.

Top Stress Contributors (#2 Worst Scenario)

scenario contributor_type rank contributor pnl abs_pnl
Macro_Combined DESK 1 FX -0.0370 0.0370
Macro_Combined DESK 2 Rates 0.0095 0.0095
Macro_Combined DESK 3 Credit 0.0090 0.0090
Macro_Combined INSTRUMENT 1 Credit | HYG 0.0300 0.0300
Macro_Combined INSTRUMENT 2 FX | EURUSD -0.0300 0.0300
Macro_Combined INSTRUMENT 3 Rates | TLT 0.0270 0.0270
Macro_Combined INSTRUMENT 4 Credit | LQD -0.0210 0.0210
Macro_Combined INSTRUMENT 5 Rates | IEF -0.0175 0.0175
Macro_Combined RISK_FACTOR 1 EURUSD -0.0300 0.0300
Macro_Combined RISK_FACTOR 2 HY_spread 0.0300 0.0300
Macro_Combined RISK_FACTOR 3 IG_spread -0.0210 0.0210
Macro_Combined RISK_FACTOR 4 USD_curve 0.0095 0.0095
Macro_Combined RISK_FACTOR 5 USDJPY -0.0070 0.0070

Breakdown shown for the #2 worst scenario by total loss.

We don't use #1 worst scenario since it is a single factor shock.

Concentration Metrics (Worst Scenarios)

Scenario TotalP&L DeskTop1 DeskHHI FacTop1 FacTop3 FacHHI InstTop1 InstTop3 InstHHI
FX_EURUSD_-15pct -0.037500 1.000000 1.000000 1.000000 1.000000 1.000000 1.000000 1.000000 1.000000
Macro_Combined -0.018500 0.666667 0.500041 0.307692 0.830769 0.250388 0.226415 0.656604 0.189405
Credit_IG_+150bp -0.018000 1.000000 1.000000 1.000000 1.000000 1.000000 1.000000 1.000000 1.000000
Historical_WorstDay_Window -0.015404 0.670494 0.505181 0.607673 0.912248 0.421621 0.555373 0.876767 0.365339
FX_USDJPY_+10pct -0.010000 1.000000 1.000000 1.000000 1.000000 1.000000 1.000000 1.000000 1.000000
Rates_Parallel_200bp 0.008500 1.000000 1.000000 1.000000 1.000000 1.000000 0.616438 1.000000 0.527116
Rates_Steepener 0.011000 1.000000 1.000000 1.000000 1.000000 1.000000 0.720000 1.000000 0.596800
Credit_HY_+400bp 0.024000 1.000000 1.000000 1.000000 1.000000 1.000000 1.000000 1.000000 1.000000

Shares are computed on absolute P&L contributions (more concentrated = higher top-share / HHI).

All desk, factor and instrument variables above are absolute values.

Reverse Stress Testing — Minimum Shock Multiplier to Hit Loss Threshold

scenario pnl_total target_loss multiplier_required already_breaches type
FX_EURUSD_-15pct -0.037500 -0.015934 0.424903 True risk_factor
Macro_Combined -0.018500 -0.015934 0.861291 True mixed
Credit_IG_+150bp -0.018000 -0.015934 0.885215 True risk_factor
Historical_WorstDay_Window -0.015404 -0.015934 1.034383 False ticker
FX_USDJPY_+10pct -0.010000 -0.015934 1.593387 False risk_factor

Reverse stress testing scales each scenario linearly to find the multiplier required to reach the target loss threshold.
multiplier_required < 1 means the base scenario already breaches the threshold; larger values imply more buffer.

Portfolio Change Attribution

T0 is the baseline portfolio
T1 reflects manual changes: higher IEF exposure, reduced HYG hedge, and slightly increased EURUSD

Stress Change Summary (T1 vs T0)

scenario stress_T0 stress_T1 delta_stress
Macro_Combined -0.018500 -0.032100 -0.013600
Credit_HY_+400bp 0.024000 0.018000 -0.006000
FX_EURUSD_-15pct -0.037500 -0.042000 -0.004500
Rates_Parallel_200bp 0.008500 0.006500 -0.002000
Historical_WorstDay_Window -0.015404 -0.016511 -0.001106
Rates_Steepener 0.011000 0.010000 -0.001000
FX_USDJPY_+10pct -0.010000 -0.010000 0.000000
Credit_IG_+150bp -0.018000 -0.018000 0.000000

ΔStress is attributed to position changes only (scenario shocks held constant).

Top Desk Movers (Worst ΔStress Scenario)

scenario desk delta_stress
Macro_Combined Credit -0.0075
Macro_Combined FX -0.0036
Macro_Combined Rates -0.0025

Top Risk Factor Movers (Worst ΔStress Scenario)

scenario risk_factor delta_stress
Macro_Combined HY_spread -0.0075
Macro_Combined EURUSD -0.0036
Macro_Combined USD_curve -0.0025
Macro_Combined IG_spread 0.0000
Macro_Combined USDJPY 0.0000

Validation & Data Quality

Validation Flags (Tail events / anomalies) — last 10

date pnl_total var_99 in_stress_window desk_1 desk_1_pnl desk_2 desk_2_pnl desk_3 desk_3_pnl
2025-02-21 0.004793 0.004058 False FX 0.003107 Credit 0.001433 Rates 0.000254
2025-03-06 0.004680 0.004058 False FX 0.004552 Rates 0.000311 Credit -0.000184
2025-03-10 0.004683 0.004058 False FX 0.002021 Credit 0.001780 Rates 0.000883
2025-04-03 0.009254 0.004058 False FX 0.003886 Rates 0.002910 Credit 0.002458
2025-04-04 0.006073 0.004058 False FX 0.004205 Credit 0.002520 Rates -0.000652
2025-04-07 -0.004566 0.004371 False Credit -0.004127 FX -0.000794 Rates 0.000355
2025-04-08 -0.005001 0.004615 False FX -0.003195 Credit -0.002877 Rates 0.001071
2025-04-11 0.006011 0.004615 False FX 0.009457 Rates -0.002788 Credit -0.000658
2025-04-23 -0.005552 0.004784 False FX -0.004794 Rates -0.001086 Credit 0.000327
2025-05-30 0.006039 0.004784 False FX 0.004537 Rates 0.000813 Credit 0.000689

Flags highlight extreme P&L tail events (rolling regime tails) and help validate stress calibration and proxy behavior.

RNIM

Risks Not In Model — Monitoring Register

rnim_item why_not_captured proxy_metric current_signal governance_action
Liquidity / gap risk Historical VaR/ES assume continuous trading and liquidity Stale prices, spread proxies, stressed ES NaN Use stress window + scenario overlays; add liquidity capital add-on
Correlation breakdown Correlations can change sharply in stress Diversification benefit + concentration metrics NaN Monitor diversification + scenario concentration; apply add-on in severe stress
Jump-to-default / event risk Discrete events may not be represented in history HY exposure share + scenario-based overlays NaN Scenario overlays; RNIM add-on; escalation on major events
Proxy / basis risk ETFs/FX pairs are proxies for risk factors Scenario sensitivity and historical fit checks NaN Document limitations; calibrate shocks conservatively; review periodically

RNIM provides governance context for limitations (liquidity, correlation, JTD, proxy/basis risk) and overlay actions.