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Risk Management

Phase 6: Multi-dimensional risk control with VaR (Historical, Parametric, Monte Carlo), position limits, and drawdown protection.

Value at Risk (VaR)

Calculate Value at Risk using three methods: Historical, Parametric, and Monte Carlo simulation

Risk Limits (SIG Standard)

  • Max Portfolio Delta: +/- 10,000
  • Max Single-Stock Delta: +/- 2,000
  • Max Portfolio Gamma: +/- 500
  • Max Portfolio Vega: +/- 10,000
  • Max Position Size: 10% of NAV
  • Max Drawdown Trigger: 10%