A rigorous Value at Risk engine for trade finance portfolios — deal-level, stressed, and correlation-adjusted. Built for practitioners who need answers before credit committee.
The Trade Finance Risk Management tool runs entirely online at icara.riskplus.net. Enter your portfolio, hit calculate — the API computes every VaR, stress scenario, and correlation-adjusted portfolio figure in real time.
Real-time API computation — VaRs calculated server-side on demand, no local install required
Handle easily 1,000+ deals in a portfolio — enter your full book and get an aggregated portfolio VaR instantly
Four stress scenarios — volatility and PD shocks computed simultaneously across every deal
Correlation matrix aggregation — pairwise matrix with adjustable correlation parameter
Secure, login-protected — your portfolio data stays behind authenticated access
Each deal is characterised by counterparty risk, commodity exposure, deal mechanics, and market dynamics — giving you a complete risk fingerprint per transaction.
Identify each obligor for deal-level attribution and reporting
Wheat, corn, olive oil, soybean — each with distinct volatility profiles
Gross notional exposure underpinning the VaR calculation
First-loss mitigation buffer; VaR net of deposit is the residual risk
Duration drives the time horizon for market-loss accumulation
σ feeds the Normal distribution underpinning market loss estimation
Bernoulli default event — scales loss by counterparty credit quality
Each deal is shocked along two dimensions — volatility and probability of default — computed by the API across all scenarios simultaneously.
Market volatility scaled up to test tail losses under turbulent conditions.
PD shocked upward to simulate credit deterioration or sector stress.
Four stress cells computed for every deal — all combinations of volatility shock × PD shock.
Individual deal VaRs are aggregated via a 170×170 pairwise correlation matrix. Drag the slider to see how diversification benefits respond to correlation assumptions.
At ρ = 10%, correlation-adjusted VaR is ~3.3% of the simple sum — demonstrating the power of diversification across uncorrelated commodity deals.
Built on quantitative risk management principles — computed by a live API, not a static formula.
Market losses are modelled as normally distributed with σ scaled by √tenor. The 99.99th percentile (z ≈ 3.72) captures extreme tail events in the commodity price distribution.
Counterparty default is a Bernoulli event with probability PD. The VaR combines both market and default risk — losses only crystallise upon default.
Pairwise correlation matrix aggregates deal-level VaRs using the quadratic form √(wᵀΣw), where w is the vector of individual deal VaRs.
Request access to the live platform and run your own trade finance portfolio through the VaR engine.
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