Risk Desk
Portfolio risk from supplied data or a synthetic example: VaR, ES, stress, credit, FRTB.
- tools
- 30
- transport
- HTTP
- last updated
- Nov 10, 2026
Tools
30 toolsPublic tool metadata for what this MCP can expose to an agent.
risk_desk_statusRuntime version, tool list, accepted data modes and reporting conventions
Runtime version, tool list, accepted data modes and reporting conventions
No parameter schema in public metadata yet.
risk_tailHistorical VaR and ES on supplied horizon P&L
Historical VaR and ES on supplied horizon P&L
No parameter schema in public metadata yet.
risk_tail_modelsVaR and ES under historical, normal, Student-t, EVT and three GARCH methods
VaR and ES under historical, normal, Student-t, EVT and three GARCH methods
No parameter schema in public metadata yet.
risk_backtestKupiec, Christoffersen, Basel zone and Z_2 tests of a VaR and optional ES series
Kupiec, Christoffersen, Basel zone and Z_2 tests of a VaR and optional ES series
No parameter schema in public metadata yet.
risk_exposureGross and net exposure and concentration of signed linear positions
Gross and net exposure and concentration of signed linear positions
No parameter schema in public metadata yet.
risk_derivatives_greeksCash delta, gamma, vega, theta and rho of linear positions and European options
Cash delta, gamma, vega, theta and rho of linear positions and European options
No parameter schema in public metadata yet.
risk_derivatives_gridFull revaluation over a spot and vol shock grid, against delta-gamma-vega
Full revaluation over a spot and vol shock grid, against delta-gamma-vega
No parameter schema in public metadata yet.
risk_derivatives_historicalHistorical full-revaluation P&L, VaR and ES of an options book
Historical full-revaluation P&L, VaR and ES of an options book
No parameter schema in public metadata yet.
risk_covarianceSample, EWMA or Ledoit-Wolf covariance, volatility and correlation
Sample, EWMA or Ledoit-Wolf covariance, volatility and correlation
No parameter schema in public metadata yet.
risk_var_attributionParametric normal VaR and ES with Euler contributions and incremental VaR
Parametric normal VaR and ES with Euler contributions and incremental VaR
No parameter schema in public metadata yet.
risk_es_attributionHistorical-simulation ES with Euler contributions per position
Historical-simulation ES with Euler contributions per position
No parameter schema in public metadata yet.
risk_factor_exposureFactor betas and the systematic and idiosyncratic variance split
Factor betas and the systematic and idiosyncratic variance split
No parameter schema in public metadata yet.
risk_limitsGrades of a limit set against exposure, tail and stress results
Grades of a limit set against exposure, tail and stress results
No parameter schema in public metadata yet.
risk_what_ifExposure, stress, tail and limit grades after proposed trades
Exposure, stress, tail and limit grades after proposed trades
No parameter schema in public metadata yet.
risk_liquidityDays to liquidate, holdings by day, spread cost and liquidity-adjusted VaR
Days to liquidate, holdings by day, spread cost and liquidity-adjusted VaR
No parameter schema in public metadata yet.
risk_stressExplicit asset shocks applied to all linear positions, with no probability
Explicit asset shocks applied to all linear positions, with no probability
No parameter schema in public metadata yet.
risk_stress_replayReplay of a dated historical window from the price levels of the caller
Replay of a dated historical window from the price levels of the caller
No parameter schema in public metadata yet.
risk_scenario_libraryThe dated historical windows with sources, as dates only
The dated historical windows with sources, as dates only
No parameter schema in public metadata yet.
risk_reverse_stressThe most plausible shock under a supplied covariance for a target loss
The most plausible shock under a supplied covariance for a target loss
No parameter schema in public metadata yet.
risk_scenario_scaleA scenario scaled so that the book loses a target amount
A scenario scaled so that the book loses a target amount
No parameter schema in public metadata yet.
risk_saccrSA-CCR exposure at default for one netting set, with every intermediate figure
SA-CCR exposure at default for one netting set, with every intermediate figure
No parameter schema in public metadata yet.
risk_exposure_profilePeak PFE, EPE, Effective EE and Effective EPE from a simulated exposure profile
Peak PFE, EPE, Effective EE and Effective EPE from a simulated exposure profile
No parameter schema in public metadata yet.
risk_credit_asrfVasicek ASRF credit VaR, expected and unexpected loss
Vasicek ASRF credit VaR, expected and unexpected loss
No parameter schema in public metadata yet.
risk_credit_copulaSeeded one-factor Gaussian copula credit VaR and ES
Seeded one-factor Gaussian copula credit VaR and ES
No parameter schema in public metadata yet.
risk_xvaRun of a trusted local ORE project in a worker. Local only, and the one tool that is not read-only
Run of a trusted local ORE project in a worker. Local only, and the one tool that is not read-only
No parameter schema in public metadata yet.
risk_frtb_imccLiquidity-adjusted, stress-scaled ES and IMCC from supplied ES figures
Liquidity-adjusted, stress-scaled ES and IMCC from supplied ES figures
No parameter schema in public metadata yet.
risk_frtb_ima_capitalIMA aggregate capital, multiplier, amber-desk surcharge and RWA
IMA aggregate capital, multiplier, amber-desk surcharge and RWA
No parameter schema in public metadata yet.
risk_frtb_plaP&L attribution test metrics and the desk zone
P&L attribution test metrics and the desk zone
No parameter schema in public metadata yet.
risk_frtb_backtestException counts at 97.5% and 99%, with the desk verdict or the bank zone
Exception counts at 97.5% and 99%, with the desk verdict or the bank zone
No parameter schema in public metadata yet.
risk_frtb_sbm_fxStandardised sensitivities-based FX delta and vega capital
Standardised sensitivities-based FX delta and vega capital
No parameter schema in public metadata yet.
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Risk Desk
Risk Desk is a portfolio risk engine that computes loss measures from supplied files and reports the method, units and assumptions with every result. From a P&L sample it computes historical Value at Risk (VaR) and Expected Shortfall (ES), six model-based estimates of the same two measures, and four backtests of a forecast record. From signed linear positions it computes gross and net exposure, stress P&L, Euler risk attribution, limit grades, a pre-trade what-if and liquidity-adjusted VaR. For books with European options it computes cash Greeks and full revaluation through the Option Desk engine. It also computes SA-CCR exposure at default, portfolio credit VaR and FRTB capital components from figures the caller supplies. Counterparty exposure and XVA come from a local Open Source Risk Engine (ORE) project.
The stated limits are part of the output. Scenarios carry no probability, no horizon is rescaled, and regulatory figures are calculations over supplied inputs. The software reads no market data and sends no order.
Details
- Repository
- github.com/iman/agent-driven-risk-desk-and-skills
- Website
- riskdesk.avidquant.com
- Categories
- AI & LLM Tools, Data & Analytics
- Transport
- HTTP
- Registry
- MCP registry, active
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