Value at Risk Backtest (Plotly)
Thirty days of clean trading P&L against the 99 percent one-day VaR line, with the three breaches marked as exceptions.
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{
"data": [
{
"type": "bar", "name": "Daily clean P&L",
"x": [1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29,30],
"y": [0.8,-0.4,1.2,0.3,-1.1,0.6,-3.1,0.9,-0.2,1.5,-0.7,0.4,1.1,-1.4,0.2,0.7,-0.9,1.3,-4.6,0.5,1.0,-0.3,0.8,-1.2,0.6,-2.9,1.4,-0.5,0.9,0.1],
"marker": {"color": "#94a3b8"}
},
{
"type": "scatter", "mode": "lines", "name": "99 percent 1-day VaR",
"x": [1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29,30],
"y": [-2.4,-2.4,-2.5,-2.5,-2.5,-2.6,-2.6,-2.8,-2.8,-2.7,-2.7,-2.6,-2.6,-2.6,-2.5,-2.5,-2.5,-2.4,-2.4,-2.7,-2.7,-2.6,-2.6,-2.6,-2.5,-2.5,-2.7,-2.7,-2.6,-2.6],
"line": {"color": "#dc2626", "width": 2}
},
{
"type": "scatter", "mode": "markers", "name": "Exception",
"x": [7, 19, 26], "y": [-3.1, -4.6, -2.9],
"marker": {"color": "#dc2626", "size": 13, "symbol": "x"}
}
],
"layout": {
"title": "Trading book VaR backtest - 30 business days (GBP m)",
"xaxis": {"title": "Business day"},
"yaxis": {"title": "P&L / VaR (GBP m)", "zeroline": true},
"legend": {"orientation": "h", "y": -0.25}
}
}