Black Monday
S&P 500 -22.6 % single session
1987
QUANTITATIVE RISK
VaR. CVaR. RWA. Monte Carlo. One platform.
The quantitative engine is deterministic by design: VaR and CVaR, Basel III SA Risk-Weighted Assets, stress overlays and a live market-data feed produce reproducible, auditable figures — not a model's opinion. No LLM runs the numbers; they sit under the same audit trail as the rest of the analysis.
5 stress scenariosBasel III SAMonte Carlo IRCAlpha Vantage liveDeterministic · no LLM
VAR · CVAR
Parametric VaR with historical stress overlays.
Value at Risk and Conditional VaR computed on a single position or a multi-asset portfolio. Historical stress overlays apply the empirical shock of five reference dislocations so the same portfolio can be expressed at 95%/99% confidence in calm market AND under tail conditions. Output: VaR, CVaR, expected shortfall, contribution by leg.
Stress scenarios applied
Global Financial Crisis
Lehman collapse, credit-spread blow-out
2008-09
Volmageddon
Short-VIX ETPs liquidation, VIX +115 %
Feb 2018
COVID Crash
WTI negative, equity -34 % in 5 weeks
Mar 2020
Russia 2022
TTF +500 %, RUB / equity simultaneous shock
Feb 2022
RWA · BASEL III SA
Risk-Weighted Assets calculator (Standardised Approach).
Basel III SA risk weights applied per asset class and external rating. Used by the engine to compute the capital impact of a deal before it is signed — useful for credit committees that need the RWA number alongside the legal opinion.
| Asset class | External rating | Risk weight |
|---|---|---|
| Sovereign exposure | AAA → AA- | 0 % |
| Sovereign exposure | A+ → A- | 20 % |
| Bank exposure | AAA → AA- | 20 % |
| Corporate exposure | AAA → AA- | 20 % |
| Corporate exposure | A+ → A- | 50 % |
| Corporate exposure | BBB+ → BB- | 100 % |
| Retail / mortgage | regulatory | 35 % |
| Unrated exposure | — | 100 % |
Risk weights from BCBS Basel III SA. The engine returns the full breakdown per leg; this table is the headline reference.
DYNAMIC RISK MATRIX
Severity × probability, rendered as you go.
Each finding the engine surfaces is plotted on a severity × probability grid. The view is reactive — adding a new finding or accepting a mitigation re-renders the matrix in place. Useful for credit and risk committees that want a one-screen view of the deal posture.
MONTE CARLO
IRC scenario simulation.
Configurable variables (price corridors, FX, default probabilities) feed a Monte Carlo engine that returns the IRC distribution and stress percentiles for the contract. Same engine that powers Mode 04 in the analysis catalogue — exposed standalone here for quant teams that already know what they want.
See mode 04 in Analysis Modes →MARKET FEEDS · ALPHA VANTAGE
Live quotes injected into the analysis.
Live market data from Alpha Vantage — equities, FX and commodities — pulled at request time and injected into the relevant analysis. Bulk fetch up to 10 symbols per call. Used by the Commodities mode (mode 06) automatically when the contract references benchmark commodities (TTF, Brent, WTI, copper, natural gas, etc.).
EquitiesFXCommoditiesBulk 10 symbolsAuto-inject on commodity refs
CONSENSUS ENGINE
Three providers. One reconciled view.
Adversarial analysis with up to three LLMs running simultaneously. Outputs are compared on Jaccard similarity and JSON divergence; disagreement between models is surfaced to the reviewer, not hidden. Designed for the few cases where the cost of being wrong is asymmetric — credit decisions, sanctioned-party exposure, criminal-risk flags.
GoogleOpenAIAnthropicWant to run the numbers on your own portfolio?
Bring a representative position and we will execute the VaR / RWA / Monte Carlo stack on it, with the cryptographic chain on, before any commercial conversation. Same offer as the rest of Finance: due diligence first, paperwork later.