Deterministic portfolio risk certification
The same multi-channel constraint kernel that certifies satellite allocations certifies portfolio trades. Five parallel risk channels evaluate every proposed position change — the binding constraint drives the certification decision.
Five Channels. Parallel Evaluation. One Decision.
Every proposed position change passes through five independent risk channels simultaneously. The binding constraint — the tightest margin — drives the certification outcome.
Parallel Constraint Evaluation
Market risk (VaR, DV01, FX exposure), credit risk (CS01, expected loss), liquidity risk (position/ADV), concentration risk (HHI), and regulatory capital (Basel III RWA) — all evaluated in parallel, each returning a normalized margin in [0, 1].
Instrument-Adaptive Smoothing
Log-sum-exp smooth barrier functions with per-instrument-type beta parameters. Equities use sharper approximation (β=50), vanilla options use softer (β=20) to handle strike discontinuities. Analytical gradients at zero additional cost.
Eigenvalue Regime Override
Eigenvalue-based regime detector with sliding window confirmation and hysteresis filtering. Confidence scoring prevents false positives from noise. Regime change detected = automatic escalation to human, regardless of margin levels. Conservative bias by design.
Supplementary Analysis. Compliance. Streaming.
Beyond core certification — algebraic analysis, regulatory compliance output, and real-time risk zone streaming for production systems.
Binding Detection + Barrier Certificates
v2 certification responses include supplementary algebraic analysis: binding constraint identification via algebraic optimization, and barrier certificate verification for constraint boundary stability. Enabled by default. Opaque API output — mathematical internals never exposed.
Basel III / FRTB Standardised Approach
Full SA decomposition with delta, vega, and curvature risk charges. P&L attribution with conservation checks. Basel traffic-light backtesting comparing predicted risk zones against realized losses. Compliance output as a computed artifact.
WebSocket Risk Zone Transitions
Live streaming of risk zone transitions via WebSocket. Rate-limited to 20 messages/second per connection with 1,000 concurrent connection capacity. Circuit breaker status in response headers. LRU response caching for production resilience.
Four Zones. Hard Thresholds. No Ambiguity.
The binding-constraint margin maps to one of four risk zones. Each zone triggers a deterministic action — no discretion, no override.
Benchmarks
Deterministic algebraic evaluation — no sampling, no variance, no Monte Carlo overhead.
| Metric | Value | Detail |
|---|---|---|
| Risk Channel Evaluation | 5 channels | Market, credit, liquidity, concentration, regulatory capital — all parallel |
| Portfolio Certification | < 50ms | Full 5-channel constraint evaluation, binding-constraint decision, certificate generation |
| vs. Monte Carlo | 423× | Deterministic algebraic approach vs. statistical Monte Carlo simulation — same accuracy, no sampling variance |
| Certificate Hashing | SHA-256 | Deterministic, pipe-delimited canonical form. BTreeMap ordering. Bit-identical across runs |
Deterministic risk certification. Five channels. One kernel.
For portfolio managers, risk teams, and compliance officers — talk to the founder about enterprise licensing, custom constraint channels, or strategic integration.