Portfolio Parameters
Annual Global Turnover (£)£600,000,000
Portfolio Asset Value (£)£50,000,000
Confidence Horizon (VaR)99.0% / 10 Days
Statutory Exposure Triggers
Parametric 99% VaR
£8,109,842
10-day horizon exposureExpected Shortfall (CVaR)
£9,291,159
Tail conditional expectationEU AI Act Gross Cap
£35,000,000
Statutory limit ceilingD&O Premium Discount & Capital Release
Convex Solver: 200 IterationsHeadline Insurance Discount
17.15%
Net saving: £32,362.50
Optimised Retention Level
£50,000.00
Capital leverage ratio: 0.6473x
RAROC Ordered Tranche Release Schedule
| Order | Tranche ID | Allocated (£) | RAROC Yield | Status |
|---|---|---|---|---|
| #1 | TR-MODEL-DEFENCE | £1,250,000 | 22.40% | READY_FOR_RELEASE |
| #2 | TR-AUDIT-EVIDENCE | £750,000 | 18.65% | READY_FOR_RELEASE |
| #3 | TR-DATA-PROVENANCE | £500,000 | 14.10% | READY_FOR_RELEASE |
RFC 8785 Canonical AttestationEAS-v2.0
Digest: sha256:d8c55e94b2fe187d903fbb09e5e9fa07f8b7eec931f31f9b3bb88fa948dc29c4