VALUE AT RISK — 95%
—
1-day, historical, % of position
RISK REPORT awaiting coverage
VALUE AT RISK — 99%
—
1-day, historical, % of position
REALIZED VOLATILITY
—
annualized, 365d convention
MAXIMUM DRAWDOWN
—
peak to trough, observed
SHARPE RATIO
—
risk-free rate assumed zero¹
DIVERSIFICATION BENEFIT
0.0%
coverage universe: 1
WORST SINGLE DAY
—
observed, not modelled
BEST SINGLE DAY
—
observed, not repeatable
LAST PRICE
—
—
¹ The risk-free rate is assumed to be zero because anyone holding this asset has already expressed a view on the risk-free rate.
STRESS SCENARIOS
| SCENARIO | SHOCK | PORTFOLIO IMPACT | DESK COMMENTARY |
|---|---|---|---|
| Mild risk-off | −20% | −20% | Within tolerance. Tolerance is total. |
| Severe risk-off | −50% | −50% | Survivable. Survival is not the same as recommended. |
| Tail event | −99% | −99% | Modelled. Also observed. Also Tuesday. |
| Liquidity withdrawal | −100% | −100% | The desk has no hedge for this and has made peace with that. |
| Favourable outcome | +1,000% | +1,000% | Not modelled. The desk does not model joy. |
Scenarios are applied to a portfolio consisting entirely of one asset, because that is the portfolio. Correlation matrix: [ 1.00 ].
METHODOLOGY
The desk runs a fork of AladdinSDK, the official SDK for BlackRock's Aladdin — the risk platform used across roughly twenty-one trillion dollars of assets. It is Apache-2.0 licensed, and anyone may fork it.
Apache-2.0 §4(b) requires that modified files carry prominent notices stating that they were changed. Ours state the following, because it is what happened:
- Removed the entitled surface. Aladdin's APIs and Data Cloud require an entitlement. We did not have one. Deleted 18,210 lines of generated institutional client surface, the Data Cloud client, and the authentication modules whose only purpose was to prove we were allowed to be there. 145 files changed, 27,228 deletions.
- Added a risk desk with a coverage universe of one. Historical value at risk at 95% and 99%, annualized realized volatility, maximum drawdown, Sharpe ratio, and a diversification benefit that is always exactly zero. It runs on public market data and requires permission from no one.
The figures on this page are computed live, in your browser, using the same measures the forked module computes in Python. Nothing here is illustrative. Full documentation ›