{
  "tool_id": "art-429-var-backtest-traffic-light",
  "tool_version": "1.0.0",
  "display_name": "VaR Backtesting Traffic-Light Zone Calculator",
  "mcp_name": "compute_var_backtest_traffic_light",
  "mandate_type": "capital_assessment",
  "wave": 70,
  "gpu": false,
  "url": "https://ainumbers.co/chaingraph/art-429-var-backtest-traffic-light.html",
  "description": "Counts Basel VaR backtesting exceptions (actual daily P&L loss exceeding the model's 1-day VaR estimate) over a rolling up-to-250-trading-day window, then looks up the green/yellow/red traffic-light zone and capital multiplier per the Basel Committee's 1996 Amendment to the Capital Accord to Incorporate Market Risks, Part V, retained under BCBS d457 (Jan 2019) internal-models-approach backtesting. Exception-count plus zone plus multiplier lookup only -- does NOT compute VaR itself and does NOT apply the multiplier to a capital charge.",
  "input_schema_ref": "chaingraph/art-429-var-backtest-traffic-light.html#manifest",
  "consumes": [],
  "feeds": [],
  "status": "live",
  "conformance_fixtures": true,
  "compute_capability": "server",
  "compute_images": [
    {
      "system": "sha256-source",
      "image_id": "sha256:25b20c0e87bf44b54d5c7f92e3ac4994db2af88a5fcb98ee3755972234fafe6b",
      "valid_from": "2026-07-10"
    },
    {
      "system": "risc0",
      "image_id": "sha256:a1a0bc89b5b1febaeda3519f6dbade0fa5ac16beeb143c4e1b01689573567bc6",
      "valid_from": "2026-07-23"
    }
  ],
  "export_capability": [
    "json"
  ],
  "compute_proof_ready": "ready",
  "compute_proof": {
    "type": "ZkVmReceipt",
    "system": "risc0",
    "receiptFormat": "groth16-bn254",
    "imageId": "sha256:a1a0bc89b5b1febaeda3519f6dbade0fa5ac16beeb143c4e1b01689573567bc6",
    "seal": "EGFqfEJ2Ol9Y4PxCvK6DJEZKP/1CdT5Hy+SrhQEtt2wds1fIoThEsxq2JsLDEtdpdiKQK2ToiKO6YMsXbTpJOy1UqFfOvyWFrBEuYSr+P5IgIEohVG680r6GyXtxCjDoEvXBBcYoPPvCB8ZQlurAuZtdGi+zzwCo8rm6wTarhpcaIMIQxF863Lk0dV3Jn3CVdmufCFPJLTZiDAcLxEGEsSkcpGV7sWEuP21c1pScbCC6dOwo3SOTr88XfdroZVilGo7+2uGkZ7KooC9gFyN3cHrmquSUoM7d6gmWcEImsGILTBIWxjf+aH/IXKa1Ut4lpRkey+l+tw9/HTOW1iHMrQ==",
    "journal": {
      "chaingraph_version": "0.4.0",
      "kernel_digest": "sha256:25b20c0e87bf44b54d5c7f92e3ac4994db2af88a5fcb98ee3755972234fafe6b",
      "output": {
        "constants_version": "BASEL-VAR-BACKTEST-TRAFFIC-LIGHT-2026-07-23-V1",
        "disambiguation": "compute_var_backtest_traffic_light performs ONLY the Basel traffic-light exception count + zone + multiplier lookup over a supplied <=250-trading-day P&L/VaR series. It does NOT compute VaR itself, does NOT apply the multiplier to a capital charge (RWA/capital math is left to the bank's market-risk capital engine), and is not a hypothetical-vs-actual P&L attribution tool.",
        "exception_count": 3,
        "exception_indices": [
          10,
          80,
          200
        ],
        "full_window": true,
        "multiplier": 3,
        "rule_status": "final",
        "source": "Basel Committee on Banking Supervision, Amendment to the Capital Accord to Incorporate Market Risks (Jan 1996), Part V, \"The Basel Committee's backtesting framework\" -- 250 trading-day rolling window comparing actual daily P&L against the 99% 1-day VaR estimate; green (0-4 exceptions, multiplier 3.00), yellow (5-9 exceptions, stepped multiplier 3.40-3.85), red (10+ exceptions, multiplier 4.00 floor). Retained under BCBS d457 \"Minimum capital requirements for market risk\" (Jan 2019) internal-models-approach backtesting provisions.",
        "truncated_to_250": false,
        "window_days": 250,
        "zone": "GREEN"
      }
    }
  }
}