Aggregate related instruments with an explicit risk map

Exposure across related instruments needs a declared mapping from each instrument to a shared risk group. We would preserve individual positions while calculating a second view for the group. Separate symbols can carry closely related economic exposure even when an instrument-level limit accepts each position.

An illustrative portfolio has $8,000 long BTC spot and $7,000 long BTC perpetual exposure. Both map to a BTC group, producing $15,000 of gross and signed directional notional under this simplified mapping. An instrument ceiling of $10,000 accepts each leg; a BTC-family ceiling of $12,000 rejects their combined exposure.

Define the grouping before calculating

The map should identify instrument IDs, valuation currencies and conversion conventions. A derivative’s contract quantity may need a multiplier before it becomes notional. An option may need a declared delta-based measure for directional aggregation. Gross notional and delta-equivalent exposure answer different questions and should have separate names.

Now reverse the perpetual leg to a $7,000 short. Signed family exposure falls to $1,000, while gross family exposure remains $15,000. The hedge can reduce immediate direction under the chosen measure while retaining basis, funding and execution risks. We would keep those risks visible rather than treating a small net number as a complete portfolio description.

Our proposed fixture defines two groups and gives every instrument exactly one mapping for a chosen aggregation dimension. If overlapping groups are intentional, their totals should be evaluated independently; summing all group totals can double count. Unknown mappings return an unresolved classification, with the resulting action policy stated explicitly.

Review cases include a renamed display symbol, a missing contract multiplier and an instrument newly added to the group. A correct aggregate should be invariant to display names and input order. Changing the economic mapping should change the result and leave a source record for the reviewer.

The contribution is a small risk-map worksheet, with individual, group-gross and group-net columns. It helps an owner decide which budget applies to related markets. Passing the worksheet demonstrates correct aggregation under the declared assumptions; establishing the quality of those assumptions requires market-specific evidence.

Our mandate compiler provides the wider instruction-to-action framework for this aggregate exposure map. The published controls research supplies its historical background. DXAP publicly describes the corresponding separation between model proposals and external policy checks.