Risk Measurement

objective

Measure portfolio and strategy risk with calibrated statistical and scenario-based metrics.

workflow

1. define horizon, confidence levels, and risk-factor mapping.
2. estimate historical and parametric VaR/ES metrics.
3. run stress scenarios and tail-loss decomposition.
4. backtest risk forecasts against realized pnl outcomes.
5. publish metric sets only after calibration and exception checks.

required diagnostics

• VaR and ES calibration error by book and horizon.
• exception rate and clustering diagnostics.
• tail dependence and correlation-break analysis.
• stress-loss attribution by factor family.
• drawdown distribution and recovery-time statistics.