KitScout

Categories › Business & Finance › Market data, stocks & crypto

Risk Desk

MCP serverVerified domain · avidquant.comRemote● LiveFree to try

Portfolio risk from supplied data or a synthetic example: VaR, ES, stress, credit, FRTB.

Install

Remote server: your requests and data go to riskdesk.avidquant.com. Claude Code: claude mcp add --transport http risk-desk https://riskdesk.avidquant.com/mcp · Claude app: Settings → Connectors → Add custom connector.

What it can do

The tools this server listed when we connected to it, in its own words.

  • risk_desk_status — Check the Risk Desk data mode, the public example, the size limits and the sign convention before requesting any figure. No market data feed
  • risk_tail — Historical VaR and Expected Shortfall over supplied horizon P&L. Report degraded status and the loss sign convention before the numbers. Omi
  • risk_exposure — Gross and net exposure, leverage against NAV and concentration for signed linear positions in one stated base currency. Omit the request to
  • risk_stress — Apply explicit asset shocks to all linear positions. No scenario probability is inferred or attached. Omit the request to run the public syn
  • risk_tail_models — 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 s
  • risk_backtest — Backtest a VaR (and optional ES) series against realised P&L: Kupiec, Christoffersen, Basel zone and Acerbi-Szekely Z2. Omit the request to
  • risk_derivatives_greeks — Cash delta, gamma, vega, theta and rho of a book of linear positions and European options. Omit the request to run the shipped synthetic exa
  • risk_derivatives_grid — 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
  • risk_derivatives_historical — 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 synthe
  • risk_covariance — Sample, EWMA or Ledoit-Wolf covariance, volatility and correlation of a supplied return history. Omit the request to run the shipped synthet
  • risk_var_attribution — Parametric normal VaR and ES with Euler contributions and incremental VaR per position. Omit the request to run the shipped synthetic exampl
  • risk_es_attribution — Historical-simulation ES with Euler contributions per position. Omit the request to run the shipped synthetic example instead. For supplied
  • risk_factor_exposure — Factor betas and the split of portfolio variance into systematic and idiosyncratic parts. Omit the request to run the shipped synthetic exam
  • risk_limits — Grade a limit set against exposure, tail and stress results already returned by Risk Desk. Omit the request to run the shipped synthetic exa
  • risk_what_if — Apply proposed trades to a book, recompute exposure, stress and tail, and grade limits after. Omit the request to run the shipped synthetic
  • risk_liquidity — Days to liquidate, holdings by day, spread cost and liquidity-adjusted VaR. Omit the request to run the shipped synthetic example instead. F
  • risk_stress_replay — Replay a dated historical window from the caller's own price levels on linear positions. Omit the request to run the shipped synthetic examp
  • risk_reverse_stress — The most plausible shock under a supplied covariance that produces a target loss. Omit the request to run the shipped synthetic example inst
  • risk_scenario_scale — Scale a scenario so the book loses a target amount. Omit the request to run the shipped synthetic example instead. For supplied data, requir
  • risk_saccr — Basel SA-CCR exposure at default for one netting set (CRE52), with every intermediate figure. Omit the request to run the shipped synthetic
  • risk_exposure_profile — Peak PFE, EPE, Effective EE and Effective EPE from a supplied simulated exposure profile. Omit the request to run the shipped synthetic exam
  • risk_credit_asrf — Vasicek asymptotic single risk factor credit VaR, expected and unexpected loss. Omit the request to run the shipped synthetic example instea
  • risk_credit_copula — Seeded one-factor Gaussian copula Monte Carlo credit VaR and ES for a finite portfolio. Omit the request to run the shipped synthetic exampl
  • risk_frtb_imcc — FRTB liquidity-adjusted, stress-scaled ES and IMCC from supplied ES figures (MAR33). Omit the request to run the shipped synthetic example i
  • risk_frtb_ima_capital — FRTB IMA aggregate capital, multiplier, amber-desk surcharge and RWA (MAR33, MAR32.9). Omit the request to run the shipped synthetic example
  • risk_frtb_pla — FRTB P&L attribution test: Spearman and Kolmogorov-Smirnov metrics and the desk zone (MAR32). Omit the request to run the shipped synthetic
  • risk_frtb_backtest — FRTB VaR backtesting exception counts at 97.5% and 99%, desk verdict or bank zone (MAR32). Omit the request to run the shipped synthetic exa
  • risk_frtb_sbm_fx — FRTB standardised sensitivities-based FX delta and vega capital (MAR21). Omit the request to run the shipped synthetic example instead. For
  • risk_scenario_library — The dated historical windows Risk Desk knows, with sources. Dates only; no prices are shipped. Replay one with risk_stress_replay and your o

KitScout test notes

Not tested by KitScout yet. When our harness runs it, pros, cons and the tasks we tried appear here, with the date and evidence.

Similar tools