PORTFOLIO RISK ENGINE
Portfolio Builder
Methodology
Backtesting Methodology
BCBS 1996 · FRTB
Return Distribution — Historical
Return Distribution — Monte Carlo 20,000 SIMULATIONS
Correlation Matrix
Per-Asset Decomposition
Engine Notes
VaR Forecast vs. Realized P&L
EXCEPTION CLUSTERING
Expected Shortfall — FRTB 97.5%
ACERBI–SZÉKELY Z2 · SIMULATED CRITICAL VALUES
Model Comparison
SAME PORTFOLIO · SAME TEST WINDOW
Basel Traffic Light
Exception Log
Engine Notes