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Comprehensive risk assessment with VaR, stress testing, and correlation analysis
1-day VaR at 95% and 99% confidence intervals
| Corn | Soybeans | Wheat | Crude | NatGas | Gold | Silver | Coffee | |
|---|---|---|---|---|---|---|---|---|
| Corn | 1.00 | 0.85 | 0.72 | 0.15 | 0.08 | -0.05 | -0.02 | 0.12 |
| Soybeans | 0.85 | 1.00 | 0.68 | 0.18 | 0.05 | -0.08 | -0.05 | 0.15 |
| Wheat | 0.72 | 0.68 | 1.00 | 0.12 | 0.06 | -0.03 | -0.01 | 0.10 |
| Crude | 0.15 | 0.18 | 0.12 | 1.00 | 0.45 | 0.22 | 0.28 | 0.08 |
| NatGas | 0.08 | 0.05 | 0.06 | 0.45 | 1.00 | 0.10 | 0.12 | 0.03 |
| Gold | -0.05 | -0.08 | -0.03 | 0.22 | 0.10 | 1.00 | 0.88 | -0.02 |
| Silver | -0.02 | -0.05 | -0.01 | 0.28 | 0.12 | 0.88 | 1.00 | 0.01 |
| Coffee | 0.12 | 0.15 | 0.10 | 0.08 | 0.03 | -0.02 | 0.01 | 1.00 |
Oil prices collapse 65%, demand destruction across energy complex
$3.2M
Portfolio Impact
Supply disruption in grains and energy, flight to gold
+$5.8M
Portfolio Impact
Chinese economic slowdown reduces industrial commodity demand
$1.9M
Portfolio Impact
Severe drought in US Corn Belt impacts grain production
+$2.1M
Portfolio Impact
| Commodity | Delta | Gamma | Vega | Theta |
|---|---|---|---|---|
| Corn (ZC) | +0.65 | 0.040 | $12,500 | -$3,200 |
| Gold (GC) | +0.72 | 0.030 | $18,200 | -$4,800 |
| Coffee (KC) | +0.58 | 0.050 | $9,800 | -$2,100 |
| Crude Oil (CL) | -0.45 | 0.060 | $22,400 | -$5,600 |
| Portfolio Total | +1.50 | 0.180 | $62,900 | -$15,700 |
Net Delta
+1.50
Net long bias
Net Gamma
+0.180
Positive convexity
Total Vega
$62,900
Volatility exposure
Daily Theta
-$15,700
Time decay/day