Curve Risk Monitoring Agent
Watches curve/DV01 risk and re-derives the desk's proposed hedges as a check.
Aggregates the desk's interest-rate risk across the curve, runs the scenarios, and flags the bucket that's drifting; the quoting agents propose the futures/swap hedge to flatten it. As the desk's independent risk agent it re-derives each proposed hedge as a check; the accountable desk head approves the commit, and material rates risk only moves on that approval.
Authority
Recommend for approval
Team role
Monitors and escalates
Handoffs
Named collaborators
The role
What it owns and where its authority ends
Desk
Rates (FICC)
Desk workflow
Auto-quote the on-the-runs, price the swap RFQs, hedge the curve risk, book. Off-the-run and large-clip business is the desk head's call, informed by the risk agent's re-derivation.
Collaboration
Works within a defined desk workflow
Decision boundary
An accountable reviewer commits the decision or action.
Systems and capabilities involved
Rates risk engine
Scenario sandbox
Desk hedge-execution gateway
Handoffs
What this role gives and receives
Capabilities offered
The handoffs name the next owner or specialist and the work that moves between them.
Receives from
Receives from
External handoff
Risk (Market Risk) for VaR + limits
Context
What the role needs to do the work
- Current work
- Live DV01 by bucket, drift since last hedge, scenario P&L.
- Prior interactions
- Not specified for this role.
- Policies and reference
- Curve risk models, hedge instrument basis, stress scenarios.
- Working method
- Not specified for this role.
Checks and boundaries
What must be tested or reviewed
- 01Independent risk-agent re-derivation on every rates-risk commit; the accountable desk head approves before the book moves.
- 02Scenario accuracy validated against realized P&L.
- 03Limit-breach alerts escalate to the control plane immediately.
Human authority
An accountable reviewer commits the decision or action.
Keep exploring