Market Risk & Valuation
Real-time VaR, Greeks, sensitivities and stress scenarios across the book
Total 1-Day 99% VaR
$20.6M
Limit Breaches
1
Warnings (>70% util.)
1
Desks Monitored
5
About This Agent
Data on this page
Desk-level 1-day 99% VaR against limits and utilization for five desks (Rates EMEA, FX G10, Equities Flow, Credit Flow, Commodities), plus an aggregate Greeks table (delta, gamma, vega, theta) broken out by book, alongside stat cards for total book-wide VaR, limit breaches and warnings.
What this agent does
Recomputes VaR and Greeks from live positions and market data across every desk, rolls desk-level VaR up to a firm-wide figure, checks utilization against approved limits, and flags breaches and near-limit warnings. On demand it runs stress scenarios and shocks the book to test resilience to market moves.
Worked examples
- Rates EMEA desk at $8.9M VaR against an $8.5M limit (105% utilization) — agent flags a Breach and notifies the desk head.
- Commodities desk at 72% utilization ($1.8M of $2.5M) crosses the 70% threshold — agent tags it as a Warning.
- Equities — Index Options book carries vega of +78,400 — agent highlights this as the largest volatility exposure when a stress test is run.
Desk-Level VaR & Limit Utilization
| Desk | 1D 99% VaR | Limit | Utilization | Status |
|---|---|---|---|---|
| Rates EMEA | $8.9M | $8.5M | 105% | Breach |
| FX G10 | $3.2M | $5.0M | 64% | OK |
| Equities Flow | $4.6M | $6.0M | 77% | OK |
| Credit Flow | $2.1M | $3.0M | 70% | OK |
| Commodities | $1.8M | $2.5M | 72% | Warning |
Aggregate Sensitivities (Greeks)
| Book | Delta | Gamma | Vega | Theta |
|---|---|---|---|---|
| Rates EMEA — Swaps | +142,300 | +8,410 | +62,900 | -3,120 |
| FX G10 — Vanilla Options | -88,200 | +2,150 | +41,300 | -1,880 |
| Equities — Index Options | +210,600 | +12,900 | +78,400 | -5,760 |
| Credit — CDS Index | +55,100 | +1,020 | +9,800 | -640 |