Portfolio risk from supplied data or a synthetic example: VaR, ES, stress, credit, FRTB.
Scored across 29 tools
Most tools map cleanly to distinct risk computations (credit, derivatives, FRTB, stress, exposure). A few boundaries are genuinely blurry: risk_tail vs risk_tail_models, risk_backtest vs risk_frtb_backtest, and risk_var_attribution vs risk_es_attribution differ mainly by measure or regulatory variant. The detailed descriptions mitigate most of this, but an agent could still pick wrong on the tail/attribution pairs.
Every tool uses the identical risk_ prefix followed by a snake_case domain and operation (risk_credit_asrf, risk_frtb_pla, risk_stress_replay). The convention is uniform throughout all 29 tools with no camelCase or bare-verb deviations.
29 tools is heavy and exceeds the comfortable 3-15 range. The scope (market risk, credit, derivatives, FRTB, liquidity, stress, limits) legitimately justifies breadth, but several tools are close variants (tail vs tail_models, three stress/search tools), pushing it toward bloated.
Coverage is strong and lifecycle-oriented: VaR/ES, backtesting, attribution, credit models, derivatives, FRTB modules, stress/scenario tooling, limits, SA-CCR and what-if, plus a status/lifecycle tool. Minor gaps remain—FRTB SBM is only provided for FX (no IR/equity SBM), and there is no explicit model-calibration or data-ingestion operation.
Backtest a VaR (and optional ES) series against realised P&L: Kupiec, Christoffersen, Basel zone and Acerbi-Szekely Z2. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
Sample, EWMA or Ledoit-Wolf covariance, volatility and correlation of a supplied return history. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
Vasicek asymptotic single risk factor credit VaR, expected and unexpected loss. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
Seeded one-factor Gaussian copula Monte Carlo credit VaR and ES for a finite portfolio. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
Cash delta, gamma, vega, theta and rho of a book of linear positions and European options. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
Full revaluation of an options book over a spot and vol shock grid, against delta-gamma-vega. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
Historical full-revaluation P&L, VaR and ES of an options book under supplied spot and vol moves. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
Check the Risk Desk data mode, the public example, the size limits and the sign convention before requesting any figure. No market data feed, no broker connection and no hosted XVA exist.
Inputs: no named parameters. Returns: object
Historical-simulation ES with Euler contributions per position. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
Gross and net exposure, leverage against NAV and concentration for signed linear positions in one stated base currency. Omit the request to run the public synthetic energy example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
Peak PFE, EPE, Effective EE and Effective EPE from a supplied simulated exposure profile. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
Factor betas and the split of portfolio variance into systematic and idiosyncratic parts. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
FRTB VaR backtesting exception counts at 97.5% and 99%, desk verdict or bank zone (MAR32). Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
FRTB IMA aggregate capital, multiplier, amber-desk surcharge and RWA (MAR33, MAR32.9). Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
FRTB liquidity-adjusted, stress-scaled ES and IMCC from supplied ES figures (MAR33). Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
FRTB P&L attribution test: Spearman and Kolmogorov-Smirnov metrics and the desk zone (MAR32). Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
FRTB standardised sensitivities-based FX delta and vega capital (MAR21). Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
Grade a limit set against exposure, tail and stress results already returned by Risk Desk. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
Days to liquidate, holdings by day, spread cost and liquidity-adjusted VaR. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
The most plausible shock under a supplied covariance that produces a target loss. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
Basel SA-CCR exposure at default for one netting set (CRE52), with every intermediate figure. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
The dated historical windows Risk Desk knows, with sources. Dates only; no prices are shipped. Replay one with risk_stress_replay and your own price levels.
Inputs: no named parameters. Returns: object
Scale a scenario so the book loses a target amount. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
Apply explicit asset shocks to all linear positions. No scenario probability is inferred or attached. Omit the request to run the public synthetic energy example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
Replay a dated historical window from the caller's own price levels on linear positions. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
Historical VaR and Expected Shortfall over supplied horizon P&L. Report degraded status and the loss sign convention before the numbers. Omit the request to run the public synthetic energy example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
VaR and ES side by side: historical, normal, Student-t, EVT, GARCH filtered historical, GARCH-EVT and GARCH-t. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
Parametric normal VaR and ES with Euler contributions and incremental VaR per position. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
Apply proposed trades to a book, recompute exposure, stress and tail, and grade limits after. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Inputs: request, rights_confirmed. Returns: object
Recent tool additions, removals, and schema changes observed during successful MCP inspections.
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Portfolio risk analytics — VaR, Monte Carlo, optimization, options Greeks, stress testing.
Portfolio scenarios with instrument checks, Monte Carlo analysis and interactive reports.
Backtest and analyze any portfolio, incl. nested multi-strategy ones: returns, risk, factors, guides
Price derivatives, insurance and energy models with exact sensitivities, checked against bumping.
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