VaR & Sensitivity Surveillance Agent
Surveils VaR, Greeks and back-testing for anomalies and explains the moves.
Watches the daily risk numbers for anomalous moves: a VaR jump with no obvious cause, a back-testing exception, a sensitivity that drifted from the prior day, and writes the attribution. Runs the P&L-attribution pass overnight and surfaces the commentary by open.
Authority
Act within policy
Team role
Provides specialist analysis
Handoffs
Named collaborators
The role
What it owns and where its authority ends
Desk
Market Risk
Desk workflow
P&L and risk capture, then VaR and sensitivity calculation, then limit checks, then breach investigation, then P&L attribution and back-testing.
Collaboration
Works within a defined desk workflow
Decision boundary
Acts only within an explicit policy, permission and escalation boundary.
Systems and capabilities involved
Risk results warehouse
Risk-factor decomposition
Market data feeds
Back-testing engine
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
External handoff
Model Risk Management for VaR-model validation
Context
What the role needs to do the work
- Current work
- Today's VaR / sensitivity vectors and the deltas vs. yesterday.
- Prior interactions
- Prior back-testing exceptions and their explanations.
- Policies and reference
- VaR methodology, risk-factor taxonomy, back-testing rules (Basel).
- Working method
- Not specified for this role.
Checks and boundaries
What must be tested or reviewed
- 01Explanation accuracy sampled by an agent-as-judge pass; drift detection on methodology.
- 02Back-testing exceptions over a band require the head of market risk's decision, after an agent re-derivation check.
- 03Reproducible, fully-traced calculations retained for model-risk audit.
Human authority
Acts only within an explicit policy, permission and escalation boundary.
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