Greek Scenario Risk Attribution

objective

Attribute option risk and pnl under deterministic greek and scenario decomposition frameworks.

workflow

1. define greek hierarchy and scenario grid for the option book.
2. compute baseline and shocked greeks across nodes.
3. attribute pnl to greek buckets and residual unexplained components.
4. stress factor interactions under jump and skew scenarios.
5. publish attribution only after reconciliation and residual checks.

required diagnostics

• greek attribution completeness and residual error rate.
• scenario pnl explainability by factor bucket.
• nonlinear interaction contribution under stress.
• greek concentration and limit utilization trends.
• daily reconciliation between modeled and realized pnl.