git:20261104.ac964e2 to git:20261106.6f9670c

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name: risk-liquidity

description: Estimate 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 for market impact.

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# Risk Liquidity, hosted

Call `risk_desk_status` first to check availability, input limits and

reporting conventions. Then use `risk_liquidity` on the connected hosted

Risk Desk MCP. Discover its input schema instead of guessing field names.

No local runtime or market-data feed is needed.

For a requested demonstration, omit `request` to use the shipped synthetic

example. Label the result as synthetic; its `data_origin` is

`synthetic_demo`. For the user's own book, pass it in `request`; never

substitute the demo when input is missing or invalid. Ask only for

missing required fields.

Report degraded status, its reason, currency and sign convention before

the figures. When P&L is supplied, degraded names every asset that takes

longer to exit than the VaR horizon. Then give the longest days to

liquidate and the slowest assets, the schedule at the days the user cares

about, the cost of liquidity, and when present VaR and liquidity-adjusted

VaR with confidence and horizon. Preserve source and as-of information.

If the service is unavailable, report the failure without inventing results.

For supplied data, the book is signed linear positions in the stated

currency with an explicit NAV. Require the participation rate, the spread

multiplier (no default; ask for it and say what it was), and for exactly

every asset its average daily traded value in the base currency, mean

relative spread and spread volatility. Relative spread is (ask - bid) /

mid, so 0.002 is 20 basis points. P&L, confidence and horizon are optional

and go together, as for `risk_tail`. Never invent a volume or a spread.

Cost of liquidity and VaR are positive losses. Short positions pay the

half spread too, so values are absolute. Days are days of average traded

value, not calendar days.

VaR is at the P&L horizon and the spread cost is a one-off exit cost;

neither is rescaled to the liquidation period. When an asset takes longer

to exit than the horizon, say that the liquidity-adjusted VaR does not

cover the extra days. The spread add-on is market-wide spread risk, not

the price impact of selling a large block, which can be far larger. This

liquidity-adjusted VaR adds the spread cost to historical VaR, while the

1999 Bangia et al. paper used parametric VaR. Do not present the paper's

range for the multiplier as a default. This is research output, not

investment advice.

Before sending user data, establish that the user is permitted to share

it with a hosted service. Existing permission in the conversation is

sufficient. `data_mode` records their declaration; it is not a rights

certificate and the service does not check it.

Market impact modelling and Counterparty XVA are not available here. XVA

needs a trusted local ORE project directory and the local `risk-desk`

plugin.