7/7
Engines Online
7,301
Cross-Engine Signals
SUCCESS
Integration Status
9
Exchange Channels
ELEVATED
Current Regime
Engine Architecture & Signal Flow
Signal Volume by Channel
Engine Status Summary
| Engine | Package | Status | Outputs | Signals Sent | Signals Received | Key Metric |
|---|---|---|---|---|---|---|
| DataHub | fisim_datahub | ONLINE | Market data, FRED, ARIF | 24 | -- | Central data gateway |
| VaR Engine | fisim_var | ONLINE | 10 portfolios | 549 | 3104 | Avg breach rate 1.24% |
| MSE | fisim_mse | ONLINE | Regime: ELEVATED | 6208 | 9 | Conf: 54.5% |
| ATE | fisim_ate | ONLINE | 262 sim days | 100 | 3104 | 5,983 trades |
| Credit | fisim_credit | ONLINE | 6 entities | 9 | 6 | RWA $1.4B |
| CCR | fisim_ccr | ONLINE | 3 counterparties | 6 | -- | EAD $75.2M |
| RiskBot | fisim_riskbot | ONLINE | Orchestrator | 6 | 399 | Supervisor + Intelligence |
Signal Flow Summary
| Channel | Signals | Direction | Description |
|---|---|---|---|
| var_mse | 549 | VaR → MSE | VaR breach alerts, method switches, capital changes |
| mse_var | 3104 | MSE → VaR | Regime signals, transition probabilities, VIX levels |
| mse_ate | 3104 | MSE → ATE | Scenario families, tail risk indicators |
| ate_mse | 100 | ATE → MSE | Realised returns, signal utility feedback |
| credit_mse | 9 | Credit → MSE | Rating changes, watchlist actions |
| ccr_credit | 6 | CCR → Credit | Counterparty exposure changes |
| datahub_all | 24 | DataHub → All | Data quality alerts, staleness warnings |
| all_riskbot | 399 | All → RiskBot | Cross-engine pattern detections |
| riskbot_all | 6 | RiskBot → All | Supervisor insights, recommended actions |
10
Portfolios
4/10
Kupiec Pass
802
Total Breaches
1.24%
Avg Breach Rate
Portfolio VaR Summary
| Portfolio | Observations | Mean VaR | Breaches | Breach Rate | Methods | Kupiec Test | LR Statistic | Zone |
|---|---|---|---|---|---|---|---|---|
| P001 | 6,584 | $239.9K | 86 | 1.31% | EWHS_99, FHS_94, HS_Buffer_15, HS_Buffer_20 | FAIL | 5.687 | GREEN |
| P002 | 6,584 | $389.7K | 84 | 1.28% | EWHS_99, FHS_94, HS_Buffer_15, HS_Buffer_20 | FAIL | 4.654 | GREEN |
| P003 | 5,688 | $109.8K | 56 | 0.98% | EWHS_99, FHS_94, HS_Buffer_15, HS_Buffer_20 | PASS | 0.014 | GREEN |
| P004 | 6,584 | $368.1K | 87 | 1.32% | EWHS_99, FHS_94, HS_Buffer_15, HS_Buffer_20 | FAIL | 6.239 | GREEN |
| P005 | 5,916 | $345.3K | 76 | 1.28% | EWHS_99, FHS_94, HS_Buffer_15, HS_Buffer_20 | FAIL | 4.443 | GREEN |
| P006 | 6,584 | $332.8K | 82 | 1.25% | EWHS_99, FHS_94, HS_Buffer_15, HS_Buffer_20 | PASS | 3.717 | GREEN |
| P007 | 6,584 | $138.2K | 77 | 1.17% | EWHS_99, FHS_94, HS_Buffer_15, HS_Buffer_20 | PASS | 1.812 | GREEN |
| P008 | 6,584 | $236.1K | 81 | 1.23% | EWHS_99, FHS_94, HS_Buffer_15, HS_Buffer_20 | PASS | 3.285 | GREEN |
| P009 | 6,584 | $279.8K | 89 | 1.35% | EWHS_99, FHS_94, HS_Buffer_15, HS_Buffer_20 | FAIL | 7.413 | GREEN |
| P010 | 6,584 | $230.5K | 84 | 1.28% | EWHS_99, FHS_94, HS_Buffer_15, HS_Buffer_20 | FAIL | 4.654 | GREEN |
P001 VaR Time Series
Breach Rate Distribution
Method Usage Over Time (P001)
Kupiec Test Results
{regime}
Current Regime (Confidence: {mse_data.get('current_confidence', 0):.1%})
{mse_data.get('regime_counts', {{}}).get('CALM', 0)}
CALM Periods
{mse_data.get('regime_counts', {{}}).get('ELEVATED', 0)}
ELEVATED Periods
{mse_data.get('regime_counts', {{}}).get('STRESS', 0) + mse_data.get('regime_counts', {{}}).get('CRISIS', 0)}
STRESS + CRISIS
Regime History Timeline
Regime Transition Matrix
Regime Duration Distribution
Regime Probability Stack
{ate_data.get('total_days', 0)}
Simulation Days
{ate_data.get('total_trades', 0):,}
Total Trades
{ate_data.get('total_stop_losses', 0)}
Stop Losses
{len(ate_data.get('unique_regimes', []))}
Regime Exposures
Daily Trade Count
Stop Loss Events
Regime Confidence Over Time
Trading Activity by Regime
{credit_data.get('n_entities', 0)}
Credit Entities
{_fmt_num(credit_data.get('total_rwa', 0), '$')}
Total RWA
{_fmt_num(credit_data.get('total_ecl', 0), '$')}
Total ECL (12m)
{ccr_data.get('n_counterparties', 0)}
CCR Counterparties
{_fmt_num(ccr_data.get('total_ead', 0), '$')}
Total SA-CCR EAD
Credit Portfolio
| Entity | Type | Grade | PD | RWA | ECL 12m |
|---|---|---|---|---|---|
| JPMorgan Chase | GSIB | A | 0.0018 | $125.4M | $224.6K |
| Silicon Valley Bank | NON_GSIB_BANK | B | 0.0411 | $139.2M | $1.7M |
| Apple Inc | IG_CORPORATE | BBB- | 0.0050 | $184.1M | $543.9K |
| Tesla Inc | HY_CORPORATE | BBB- | 0.0055 | $103.1M | $321.7K |
| Republic of Brazil | SOVEREIGN | CCC | 0.3510 | $587.1M | $34.5M |
| Citadel Securities | HEDGE_FUND | CCC+ | 0.2711 | $239.7M | $10.8M |
CCR SA-CCR Breakdown
| Counterparty | Netting Set | EAD | RC | PFE |
|---|---|---|---|---|
| JPMorgan Chase | NS-JPM-01 | $73.7M | $49.7M | $2.9M |
| Goldman Sachs | NS-GS-01 | $78.0K | $0.0 | $55.7K |
| Citadel Securities | NS-CIT-01 | $1.4M | $0.0 | $1.0M |
Credit Rating Distribution
CCR EAD Breakdown
Credit-CCR Linkage
| Entity | Credit Grade | Credit PD | Credit RWA | CCR EAD | Linked |
|---|---|---|---|---|---|
| Apple Inc | BBB- | 0.0050 | $184.1M | -- | PARTIAL |
| Citadel Securities | CCC+ | 0.2711 | $239.7M | $1.4M | LINKED |
| Goldman Sachs | -- | -- | -- | $78.0K | PARTIAL |
| JPMorgan Chase | A | 0.0018 | $125.4M | $73.7M | LINKED |
| Republic of Brazil | CCC | 0.3510 | $587.1M | -- | PARTIAL |
| Silicon Valley Bank | B | 0.0411 | $139.2M | -- | PARTIAL |
| Tesla Inc | BBB- | 0.0055 | $103.1M | -- | PARTIAL |
7,301
Total Signals
9
Channels
AUDITED
Glass Box Status
Cross-Engine Signal Log (Latest 50)
riskbot_all
2026-03-23T23:01:45
pattern_name=ccr_credit_exposure_linkage | description=CCR exposures published for 6 counterparties. Large SA-CCR EADs should condition credit assessments.
riskbot_all
2026-03-23T23:01:45
pattern_name=var_breach_regime_correlation | description=Detected 549 VaR breach signals and 3104 regime signals. VaR breaches tend to cluster during STRESS/CRISIS regimes.
datahub_all
2026-03-23T23:01:45
level=CRITICAL | message=Dataset yahoo_log_returns is stale: 145.1h (threshold: 24.0h)
datahub_all
2026-03-23T23:01:45
level=CRITICAL | message=Dataset yahoo_prices_raw is stale: 145.1h (threshold: 24.0h)
datahub_all
2026-03-23T23:01:45
level=CRITICAL | message=Dataset yahoo_prices_processed is stale: 145.1h (threshold: 24.0h)
datahub_all
2026-03-23T23:01:45
level=CRITICAL | message=Dataset vix_yahoo is stale: 145.1h (threshold: 24.0h)
datahub_all
2026-03-23T23:01:45
level=CRITICAL | message=Dataset fred_macro is stale: 144.8h (threshold: 24.0h)
datahub_all
2026-03-23T23:01:45
level=CRITICAL | message=Dataset ecb_macro is stale: 145.1h (threshold: 24.0h)
datahub_all
2026-03-23T23:01:45
level=CRITICAL | message=Dataset credit_macro_wgi is stale: 361.5h (threshold: 24.0h)
datahub_all
2026-03-23T23:01:45
level=CRITICAL | message=Dataset credit_macro_weo is stale: 361.5h (threshold: 24.0h)
datahub_all
2026-03-23T23:01:45
level=CRITICAL | message=Dataset credit_macro_wdi is stale: 361.5h (threshold: 24.0h)
datahub_all
2026-03-23T23:01:45
level=CRITICAL | message=Dataset credit_macro_sp_sovereign is stale: 361.5h (threshold: 24.0h)
datahub_all
2026-03-23T23:01:45
level=CRITICAL | message=Dataset arif_prices is stale: 362.3h (threshold: 24.0h)
datahub_all
2026-03-23T23:01:45
level=CRITICAL | message=Dataset fred_daily is stale: 144.8h (threshold: 24.0h)
ccr_credit
2026-03-23T23:01:45
counterparty_name=Citadel Securities
ccr_credit
2026-03-23T23:01:45
counterparty_name=Goldman Sachs
ccr_credit
2026-03-23T23:01:45
counterparty_name=JPMorgan Chase
credit_mse
2026-03-23T23:01:45
entity_name=Citadel Securities
credit_mse
2026-03-23T23:01:45
entity_name=Republic of Brazil
credit_mse
2026-03-23T23:01:45
entity_name=Silicon Valley Bank
mse_ate
2026-03-23T23:01:44
regime=ELEVATED_VOL
mse_var
2026-03-23T23:01:44
regime=ELEVATED_VOL
mse_ate
2026-03-23T23:01:44
regime=LOW_VOL
mse_var
2026-03-23T23:01:44
regime=LOW_VOL
mse_ate
2026-03-23T23:01:44
regime=LOW_VOL
mse_var
2026-03-23T23:01:44
regime=LOW_VOL
mse_ate
2026-03-23T23:01:44
regime=LOW_VOL
mse_var
2026-03-23T23:01:44
regime=LOW_VOL
mse_ate
2026-03-23T23:01:44
regime=LOW_VOL
mse_var
2026-03-23T23:01:44
regime=LOW_VOL
mse_ate
2026-03-23T23:01:44
regime=LOW_VOL
mse_var
2026-03-23T23:01:44
regime=LOW_VOL
mse_ate
2026-03-23T23:01:44
regime=LOW_VOL
mse_var
2026-03-23T23:01:44
regime=LOW_VOL
mse_ate
2026-03-23T23:01:44
regime=LOW_VOL
mse_var
2026-03-23T23:01:44
regime=LOW_VOL
mse_ate
2026-03-23T23:01:44
regime=ELEVATED_VOL
mse_var
2026-03-23T23:01:44
regime=ELEVATED_VOL
mse_ate
2026-03-23T23:01:44
regime=ELEVATED_VOL
mse_var
2026-03-23T23:01:44
regime=ELEVATED_VOL
mse_ate
2026-03-23T23:01:44
regime=ELEVATED_VOL
mse_var
2026-03-23T23:01:44
regime=ELEVATED_VOL
mse_ate
2026-03-23T23:01:44
regime=ELEVATED_VOL
mse_var
2026-03-23T23:01:44
regime=ELEVATED_VOL
mse_ate
2026-03-23T23:01:44
regime=ELEVATED_VOL
mse_var
2026-03-23T23:01:44
regime=ELEVATED_VOL
mse_ate
2026-03-23T23:01:44
regime=ELEVATED_VOL
mse_var
2026-03-23T23:01:44
regime=ELEVATED_VOL
mse_ate
2026-03-23T23:01:44
regime=ELEVATED_VOL
mse_var
2026-03-23T23:01:44
regime=ELEVATED_VOL
Channel Signal Volume
Integration Workflow
1 DataHub acquires and validates market data
2 MSE classifies regime from validated data
3 VaR Engine runs backtest with regime overlay
4 ATE consumes scenarios, executes trades
5 Credit Engine rates counterparties
6 CCR computes SA-CCR exposures
7 RiskBot orchestrates, detects cross-engine patterns
8 Glass Box logs all signals for audit
Data Lineage
| Output | Source Engine | Input Data | Exchange Channel | Audit Status |
|---|---|---|---|---|
| VaR Backtest (P001-P010) | fisim_var | DataHub market returns | var_mse, mse_var | TRACED |
| Regime History | fisim_mse | DataHub VIX, yields, spreads | mse_var, mse_ate | TRACED |
| Trading Simulation | fisim_ate | MSE scenarios, DataHub prices | ate_mse, mse_ate | TRACED |
| Credit Assessment | fisim_credit | DataHub financials, ratings | credit_mse, ccr_credit | TRACED |
| CCR SA-CCR | fisim_ccr | Trade register, market state | ccr_credit | TRACED |
| RiskBot Intelligence | fisim_riskbot | All engine outputs | all_riskbot, riskbot_all | TRACED |