{
  "tool_id": "art-429-var-backtest-traffic-light",
  "note": "Basel VaR backtesting traffic-light exception count + zone + multiplier lookup (BANK-K-VARBT-1). Vector 1: full-window GREEN. Vector 2: full-window YELLOW stepped multiplier. Vector 3: partial-window RED, exercises full_window=false + PARTIAL_WINDOW_UNDER_250_DAYS flag.",
  "vectors": [
    {
      "name": "green_zone_full_window_three_exceptions",
      "description": "Full 250-trading-day window, 3 exceptions -- GREEN zone, base 3.00 multiplier.",
      "policy_parameters": {
        "observations": [
          {
            "date": "2026-01-01",
            "pnl": 20000,
            "var_estimate": 100000
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          {
            "date": "2026-02-02",
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            "var_estimate": 100000
          },
          {
            "date": "2026-03-03",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-04-04",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-05-05",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-06-06",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-07-07",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-08-08",
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            "var_estimate": 100000
          },
          {
            "date": "2026-09-09",
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            "var_estimate": 100000
          },
          {
            "date": "2026-10-10",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-11-11",
            "pnl": -150000,
            "var_estimate": 100000
          },
          {
            "date": "2026-12-12",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-01-13",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-02-14",
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            "var_estimate": 100000
          },
          {
            "date": "2026-03-15",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-04-16",
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            "var_estimate": 100000
          },
          {
            "date": "2026-05-17",
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            "var_estimate": 100000
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          {
            "date": "2026-06-18",
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            "var_estimate": 100000
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          {
            "date": "2026-07-19",
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            "var_estimate": 100000
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          {
            "date": "2026-08-20",
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            "var_estimate": 100000
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          {
            "date": "2026-09-21",
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          {
            "date": "2026-10-22",
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            "var_estimate": 100000
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          {
            "date": "2026-11-23",
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            "var_estimate": 100000
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          {
            "date": "2026-12-24",
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            "var_estimate": 100000
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          {
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          {
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            "date": "2026-11-23",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-12-24",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-01-25",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-02-26",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-03-27",
            "pnl": 20000,
            "var_estimate": 100000
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          {
            "date": "2026-04-28",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-05-01",
            "pnl": 20000,
            "var_estimate": 100000
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          {
            "date": "2026-06-02",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-07-03",
            "pnl": 20000,
            "var_estimate": 100000
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          {
            "date": "2026-08-04",
            "pnl": 20000,
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            "date": "2026-09-05",
            "pnl": -150000,
            "var_estimate": 100000
          },
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            "date": "2026-10-06",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-11-07",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-12-08",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-01-09",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-02-10",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-03-11",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-04-12",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-05-13",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-06-14",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-07-15",
            "pnl": 20000,
            "var_estimate": 100000
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            "date": "2026-08-16",
            "pnl": 20000,
            "var_estimate": 100000
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          {
            "date": "2026-09-17",
            "pnl": 20000,
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            "date": "2026-10-18",
            "pnl": 20000,
            "var_estimate": 100000
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          {
            "date": "2026-11-19",
            "pnl": 20000,
            "var_estimate": 100000
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          {
            "date": "2026-12-20",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-01-21",
            "pnl": 20000,
            "var_estimate": 100000
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          {
            "date": "2026-02-22",
            "pnl": 20000,
            "var_estimate": 100000
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          {
            "date": "2026-03-23",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-04-24",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-05-25",
            "pnl": 20000,
            "var_estimate": 100000
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          {
            "date": "2026-06-26",
            "pnl": 20000,
            "var_estimate": 100000
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          {
            "date": "2026-07-27",
            "pnl": 20000,
            "var_estimate": 100000
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            "date": "2026-08-28",
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            "var_estimate": 100000
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            "date": "2026-09-01",
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          {
            "date": "2026-10-02",
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          {
            "date": "2026-11-03",
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          },
          {
            "date": "2026-12-04",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-01-05",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-02-06",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-03-07",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-04-08",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-05-09",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-06-10",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-07-11",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-08-12",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-09-13",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-10-14",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-11-15",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-12-16",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-01-17",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-02-18",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-03-19",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-04-20",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-05-21",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-06-22",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-07-23",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-08-24",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-09-25",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-10-26",
            "pnl": 20000,
            "var_estimate": 100000
          }
        ]
      },
      "output_payload": {
        "window_days": 250,
        "full_window": true,
        "truncated_to_250": false,
        "exception_count": 3,
        "exception_indices": [
          10,
          80,
          200
        ],
        "zone": "GREEN",
        "multiplier": 3,
        "rule_status": "final",
        "constants_version": "BASEL-VAR-BACKTEST-TRAFFIC-LIGHT-2026-07-23-V1",
        "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.",
        "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."
      },
      "golden_hash": "c152971ddc53c7b150b5b99b5d40e349f6b737d52431fb92bc37b5b10d9815ea"
    },
    {
      "name": "yellow_zone_full_window_seven_exceptions",
      "description": "Full 250-trading-day window, 7 exceptions -- YELLOW zone, stepped 3.65 multiplier.",
      "policy_parameters": {
        "observations": [
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            "date": "2026-03-07",
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            "date": "2026-04-08",
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            "date": "2026-05-09",
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            "date": "2026-06-10",
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            "date": "2026-07-11",
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          {
            "date": "2026-08-12",
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          },
          {
            "date": "2026-09-13",
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          },
          {
            "date": "2026-10-14",
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          },
          {
            "date": "2026-11-15",
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          },
          {
            "date": "2026-12-16",
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          },
          {
            "date": "2026-01-17",
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          },
          {
            "date": "2026-02-18",
            "pnl": 20000,
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          },
          {
            "date": "2026-03-19",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-04-20",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-05-21",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-06-22",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-07-23",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-08-24",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-09-25",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-10-26",
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            "var_estimate": 100000
          }
        ]
      },
      "output_payload": {
        "window_days": 250,
        "full_window": true,
        "truncated_to_250": false,
        "exception_count": 7,
        "exception_indices": [
          3,
          17,
          42,
          88,
          101,
          150,
          199
        ],
        "zone": "YELLOW",
        "multiplier": 3.65,
        "rule_status": "final",
        "constants_version": "BASEL-VAR-BACKTEST-TRAFFIC-LIGHT-2026-07-23-V1",
        "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.",
        "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."
      },
      "golden_hash": "59ff3a4a7ed8a8b449d017fc523fffbd41b4fb4942e02bad2db575a5d62f701c"
    },
    {
      "name": "red_zone_partial_window_twelve_exceptions",
      "description": "Partial 60-day window (model too new for full 250 days), 12 exceptions -- RED zone, 4.00 floor multiplier, full_window false.",
      "policy_parameters": {
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          },
          {
            "date": "2026-06-26",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-07-27",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-08-28",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-09-01",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-10-02",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-11-03",
            "pnl": 20000,
            "var_estimate": 100000
          },
          {
            "date": "2026-12-04",
            "pnl": 20000,
            "var_estimate": 100000
          }
        ]
      },
      "output_payload": {
        "window_days": 60,
        "full_window": false,
        "truncated_to_250": false,
        "exception_count": 12,
        "exception_indices": [
          1,
          5,
          9,
          13,
          17,
          21,
          25,
          29,
          33,
          37,
          41,
          45
        ],
        "zone": "RED",
        "multiplier": 4,
        "rule_status": "final",
        "constants_version": "BASEL-VAR-BACKTEST-TRAFFIC-LIGHT-2026-07-23-V1",
        "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.",
        "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."
      },
      "golden_hash": "345479e0ef55d7b777cf0e326ccd718912b915e80399f2453a58cb7c61c39880"
    }
  ]
}