Risk Management
VaR, limits & stress testing
John Trader
Metals Desk
Value at Risk (1-Day Horizon)
Historical Simulation
95% Confidence95% CI
$742,000
49.5% of limitLimit: $1,500,000
99% VaR$1,185,000
Parametric (Normal)
95% Confidence95% CI
$695,000
46.3% of limitLimit: $1,500,000
99% VaR$1,102,000
Monte Carlo
95% Confidence95% CI
$758,000
50.5% of limitLimit: $1,500,000
99% VaR$1,210,000
Limit Utilization
| Entity | Type | Limit Type | Current | Limit | Utilization | Status |
|---|---|---|---|---|---|---|
| John Trader | TRADER | NOTIONAL | $8,250,000 | $10,000,000 | 82.5% | WARNING |
| Sarah Miller | TRADER | NOTIONAL | $5,400,000 | $8,000,000 | 67.5% | WITHIN |
| Mike Chen | TRADER | NOTIONAL | $4,250,000 | $5,000,000 | 85.0% | WARNING |
| Metals Desk | DESK | NOTIONAL | $14,800,000 | $20,000,000 | 74.0% | WITHIN |
| Agriculture Desk | DESK | NOTIONAL | $9,200,000 | $15,000,000 | 61.3% | WITHIN |
| Energy Desk | DESK | NOTIONAL | $18,500,000 | $25,000,000 | 74.0% | WITHIN |
| Firm-Wide | FIRM | NOTIONAL | $48,500,000 | $100,000,000 | 48.5% | WITHIN |
| Firm-Wide VaR | FIRM | VAR | $2,850,000 | $5,000,000 | 57.0% | WITHIN |
Stress Test Results
2008 Financial Crisis12 positions
-$18,500,000
China Demand Shock8 positions
-$8,200,000
Supply Disruption10 positions
+$12,400,000
USD Strengthening12 positions
-$6,100,000
Risk Alerts
Trader-001 (John Trader) notional at 82.5% of limit
5/31/2026, 10:23:00 AMWARNING
Trader-003 (Mike Chen) notional at 85.0% of limit
5/31/2026, 9:15:00 AMWARNING
Portfolio 1D VaR increased 12% to $742K
5/31/2026, 9:00:00 AMINFO