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El Global Risks Index

The Global Risks Index · Methods · 57 capabilities

Riesgo financiero

Methods for finance, banking, asset-management on the Julia and Python and r compute planes.

Página GRX-MTH-FREdición Edición de referencia 2026Cierre de evidencia 2026-09-30Valores aún no publicadosMétodo v1.0.0-draft
57
capabilities
13
kernel-bound
7
method families
4
estándares

01Capacidades

57 capabilities

13 of 57 have a bound kernel or engine. States are shown as the registry records them; a request fails closed wherever an adapter, specialist model or governed data is still missing.

Método Capability ID Estado Se ejecuta en
Probability of Default risk.capability.financial-risk.probability.of.default.v1 Reference implementation Python · bank.credit_expected_loss
Loss Given Default risk.capability.financial-risk.loss.given.default.v1 Reference implementation –
Exposure at Default risk.capability.financial-risk.exposure.at.default.v1 Reference implementation –
Expected Credit Loss risk.capability.financial-risk.expected.credit.loss.v1 Reference implementation Python · bank.credit_expected_loss
Unexpected Credit Loss risk.capability.financial-risk.unexpected.credit.loss.v1 Data required –
Credit Migration risk.capability.financial-risk.credit.migration.v1 Data required Python · bank.credit_migration
Structural Credit Merton risk.capability.financial-risk.structural.credit.merton.v1 Data required Python · bank.merton_structural
Reduced Form Credit risk.capability.financial-risk.reduced.form.credit.v1 Data required –
Rating Transition risk.capability.financial-risk.rating.transition.v1 Data required –
Counterparty Credit Risk risk.capability.financial-risk.counterparty.credit.risk.v1 Data required –
Wrong Way Risk risk.capability.financial-risk.wrong.way.risk.v1 Data required –
CVA DVA FVA risk.capability.financial-risk.cva.dva.fva.v1 Data required –
Credit Concentration risk.capability.financial-risk.credit.concentration.v1 Data required –
Collateral Risk risk.capability.financial-risk.collateral.risk.v1 Data required –
Project Finance Risk risk.capability.financial-risk.project.finance.risk.v1 Data required –
Historical VaR risk.capability.financial-risk.historical.var.v1 Reference implementation Python · market.var_es
Parametric VaR risk.capability.financial-risk.parametric.var.v1 Reference implementation –
Monte Carlo VaR risk.capability.financial-risk.monte.carlo.var.v1 Reference implementation –
Expected Shortfall risk.capability.financial-risk.expected.shortfall.v1 Reference implementation Python · market.var_es
GARCH Volatility risk.capability.financial-risk.garch.volatility.v1 Data required Python · market.garch11
Stochastic Volatility risk.capability.financial-risk.stochastic.volatility.v1 Data required –
Interest Rate Term Structure risk.capability.financial-risk.interest.rate.term.structure.v1 Data required –
Duration Convexity risk.capability.financial-risk.duration.convexity.v1 Data required –
FX Risk risk.capability.financial-risk.fx.risk.v1 Data required –
Commodity Risk risk.capability.financial-risk.commodity.risk.v1 Data required –
Option Greeks risk.capability.financial-risk.option.greeks.v1 Data required Python · market.black_scholes
Full Revaluation risk.capability.financial-risk.full.revaluation.v1 Data required –
Basis Risk risk.capability.financial-risk.basis.risk.v1 Data required –
Correlation Risk risk.capability.financial-risk.correlation.risk.v1 Data required –
Factor Risk risk.capability.financial-risk.factor.risk.v1 Data required –
Stress Testing risk.capability.financial-risk.stress.testing.v1 Data required –
Reverse Stress Testing risk.capability.financial-risk.reverse.stress.testing.v1 Data required –
Market Liquidity risk.capability.financial-risk.market.liquidity.v1 Data required –
Funding Liquidity risk.capability.financial-risk.funding.liquidity.v1 Data required –
Liquidity Coverage Stress risk.capability.financial-risk.liquidity.coverage.stress.v1 Data required Python · bank.lcr_nsfr
Cash Flow Ladder risk.capability.financial-risk.cash.flow.ladder.v1 Data required Python · liquidity.survival
Liquidation Cost risk.capability.financial-risk.liquidation.cost.v1 Data required –
Market Impact risk.capability.financial-risk.market.impact.v1 Data required –
Portfolio Optimisation risk.capability.financial-risk.portfolio.optimization.v1 Data required –
Factor Attribution risk.capability.financial-risk.factor.attribution.v1 Data required –
Risk Parity risk.capability.financial-risk.risk.parity.v1 Data required –
Tracking Error risk.capability.financial-risk.tracking.error.v1 Data required –
Drawdown risk.capability.financial-risk.drawdown.v1 Data required –
Downside Deviation risk.capability.financial-risk.downside.deviation.v1 Data required –
Sortino risk.capability.financial-risk.sortino.v1 Data required –
Risk Contribution risk.capability.financial-risk.risk.contribution.v1 Data required –
Marginal VaR risk.capability.financial-risk.marginal.var.v1 Data required –
Component VaR risk.capability.financial-risk.component.var.v1 Data required –
Scenario Attribution risk.capability.financial-risk.scenario.attribution.v1 Data required –
Balance Sheet Stress risk.capability.financial-risk.balance.sheet.stress.v1 Data required –
Capital Adequacy risk.capability.financial-risk.capital.adequacy.v1 Data required Python · bank.vasicek_capital
Risk Weighted Assets risk.capability.financial-risk.risk.weighted.assets.v1 Data required –
Deposit Run risk.capability.financial-risk.deposit.run.v1 Data required –
Interbank Contagion risk.capability.financial-risk.interbank.contagion.v1 Data required –
Macro Financial Feedback risk.capability.financial-risk.macro.financial.feedback.v1 Data required Python · macro.var_forecast
Sovereign Bank Nexus risk.capability.financial-risk.sovereign.bank.nexus.v1 Data required –
Climate Credit Transmission risk.capability.financial-risk.climate.credit.transmission.v1 Data required Python · transition.climate_adjusted_pd
02Alcance

Methods, data and supports

Method families
financial risk, Monte Carlo, Bayesian inference, time series, optimisation, decision analysis, copula dependence
Ámbitos
finance, banking, asset-management
Compute planes
Julia, Python, r
Source classes
market, credit, balance-sheet, counterparty, collateral, portfolio
Spatial supports
entity, portfolio, jurisdiction
Temporal supports
intraday, daily, quarterly, scenario
Reference implementation8
Data required49
03Normas

Standards that govern this fabric

Propose a method

New methods are registered with a stable ID and a hand-derived golden test.