Derivatives Risk Management Program demo

What the demo shows

Runs Rule 18f-4 for the derivatives risk manager: daily VaR tests, backtests and board reports

A clean home shows four numbers and each person's next decision. Every fund opens as a VaR tape: 250 dots, one per business day, against its Rule 18f-4 limit, with backtest exceptions on a lane beneath and the days over the limit counted. The agents work beside it in a conversation: the Data agent holds a test rather than fill a missing price; the Test agent runs the daily relative or absolute test; the Verifier recomputes every ratio; the Explainer says what drove each marked day, citing the trades and the market event; the Reference agent tests whether the reference portfolio still fits and refuses to change it just to pass; the Escalation agent runs the five-day cure clock and prices the PM's options; the Reporting agent drafts the N-RN and the board reports and holds them. The analyst prepares, the DRM signs with a reason code, the CCO submits.

Transcript

1. 0:00Derivatives Risk Management Program runs Rule 18f-4 for the derivatives risk manager, daily VaR tests, backtests and board reports.
2. 0:12Above 10% in derivatives, funds test VaR daily and file with the SEC after five days over.
3. 0:22Overnight, agents tested 45 funds and found one over its limit.
4. 0:29The VaR tape, a dot per business day, against the 200% limit.
5. 0:36Quillfield Macro Fund, 214%, day three of five.
6. 0:43The explainer says why.
7. 0:46Euro rate futures doubled after the central bank meeting.
8. 0:51Every figure opens its source.
9. 0:55The reference agent won't swap the reference portfolio, just a pass.
10. 1:01Victor asks, a smaller position price is at 191%.
11. 1:05He signs the plan.
12. 1:08The filing and board report are drafted and held.
13. 1:13Sighted, signed, and logged in the audit pack.
14. 1:1845 funds a night.
15. 1:20Every exception explained. No filing late.
16. 1:25Built on Botminds.
17. 1:27Agents, data, screens, and governance on one platform.

Transcribed from the film’s narration. Captions are on the player.