risk-tail ยท diff
git:20260915.ad0be8c to git:20261104.ac964e2
22 added, 9 removed. Audit A to A.
---
name: risk-tail
- description: Calculate historical VaR and Expected Shortfall from P&L the user supplies, over the hosted Risk Desk MCP. Use for loss quantiles and tail severity, not counterparty XVA.
+ description: Calculate 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.
---
# Risk Tail, hosted
Call `risk_desk_status` first to check availability, input limits and
- reporting conventions. Then use `risk_tail` on the connected hosted Risk
- Desk MCP. Discover its input schema instead of guessing field names.
+ reporting conventions. Then use `risk_tail` for historical VaR and ES, or
+ `risk_tail_models` for the historical result beside normal, Student-t,
+ extreme value, GARCH filtered historical, GARCH-EVT and GARCH-t Monte
+ Carlo estimates, 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 synthetic energy
- book. Label the result as synthetic. For the user's own book, pass the
+ For a requested demonstration, omit `request` to use the shipped synthetic
+ example. Label the result as synthetic. For the user's own book, pass the
supplied data in `request`; never substitute the demo when input is
missing or invalid. Ask only for missing required fields.
Report degraded status, its reason, base currency, horizon and sign
convention before the figures. Preserve source and as-of information.
If the service is unavailable, report the failure without inventing results.
For supplied data, require currency, as-of date, source, data mode,
portfolio value, confidence and horizon. Each P&L observation must already cover that
horizon. Do not convert daily results to another horizon by silently
- scaling them.
+ scaling them. For `risk_tail_models` the P&L must be in time order, oldest
+ first: the GARCH columns depend on order, the others do not.
Give VaR and Expected Shortfall as monetary losses; negative values mean gains and are not floored at zero. Include
the sample count and the tail probability mass. The small-tail warning is
a reporting rule, not a confidence test. Do not call ES the mean of all
losing observations. These are empirical results over one supplied
sample, not validated forecasts.
+ For `risk_tail_models`, report every entry in `unavailable` with its
+ reason; a missing column is not a zero. If the GARCH posterior did not
+ converge, the result is degraded and the three GARCH columns are
+ unreliable; say so. EVT with fewer than 50 exceedances is flagged; do not
+ present it as robust. Disagreement between columns is model risk, not an
+ error to average away. The normal, Student-t and unconditional EVT fits
+ ignore volatility clustering, and the GARCH columns look one sample period
+ ahead only. To test a forecast record, use `risk_backtest`.
+
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.
- Counterparty exposure and XVA are not available here. They need a trusted
- local ORE project directory, which a remote endpoint cannot read. Point
- the user at the local `risk-desk` plugin for that.
+ Counterparty XVA is not available here. It needs a trusted local ORE
+ project directory, which a remote endpoint cannot read. Point the user at
+ the local `risk-desk` plugin for that.