risk-attributionEstimate a covariance matrix from supplied returns, split VaR and Expected Shortfall into per-position contributions, and split portfolio variance into factor and idiosyncratic parts, over the hosted Risk Desk MCP. Use to find which positions or factors drive the risk.
risk-backtestBacktest a supplied VaR series, and optionally an Expected Shortfall series, against realised P&L over the hosted Risk Desk MCP. Use to judge a forecast record with exception counts, Kupiec, Christoffersen, the Basel traffic light and the Acerbi-Szekely ES test, not to compute VaR.
risk-counterpartyCalculate Basel SA-CCR exposure at default for one derivative netting set, or summarise a simulated exposure profile into peak PFE, EPE, Effective EE and Effective EPE, over the hosted Risk Desk MCP. Use for counterparty exposure measures, not for XVA or credit capital.
risk-creditCalculate portfolio credit VaR, expected and unexpected loss from obligor exposure, PD and LGD with the Vasicek ASRF quantile or a seeded one-factor Gaussian copula Monte Carlo, over the hosted Risk Desk MCP. Use for default loss on a loan or bond book, not for IRB capital or rating migration.
risk-data-importTurn a CSV, spreadsheet or JSON file the user attaches into a Risk Desk request, repairing clear format and unit errors and reporting each repair, then pass it to the hosted Risk Desk MCP. Use when a user attaches data and asks for a risk figure, asks how to format it, or a tool refused the input.
risk-derivativesCalculate cash Greeks, spot and vol scenario grids, and historical full-revaluation VaR and Expected Shortfall for a book of linear positions and European options on spot or futures underlyings, over the hosted Risk Desk MCP. Use when a book holds options, not for American or exotic options or optio
risk-frtbCompute Basel FRTB capital pieces from figures a bank has already produced, covering IMCC, aggregate IMA capital and RWA, the P&L attribution zone, VaR backtesting counts and FX SBM delta and vega capital, over the hosted Risk Desk MCP. Use for MAR21, MAR32 or MAR33 questions, not to estimate ES or
risk-limitsGrade a limit set on gross, net, leverage, gross share, VaR, Expected Shortfall or a named stress loss against Risk Desk results, and run a pre-trade what-if that revalues a linear book with proposed trades, over the hosted Risk Desk MCP. Use for limit utilisation and what a proposed trade would do,
risk-liquidityEstimate days to liquidate each asset at a participation rate of average daily traded value, the holdings schedule by day, the exogenous bid-ask spread cost and liquidity-adjusted VaR, over the hosted Risk Desk MCP. Use to ask how long a linear book takes to exit or what the spread adds to VaR, not
risk-portfolioAggregate gross and net exposure, leverage and asset concentration for linear positions in one base currency, over the hosted Risk Desk MCP.
risk-stressRevalue linear positions under supplied asset-return scenarios, replay a dated window from the user's own prices, list the dated scenario library, find the most plausible shock for a target loss, or scale a scenario to a target loss, over the hosted Risk Desk MCP. Use for scenario loss and contribut
risk-tailCalculate VaR and Expected Shortfall from P&L the user supplies, historical only or side by side under normal, Student-t, EVT and GARCH models, over the hosted Risk Desk MCP. Use for loss quantiles, tail severity and model comparison, not counterparty XVA and not for testing a forecast record.