01Capabilities
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.
| Method | Capability ID | State | Runs on |
|---|---|---|---|
| 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 Optimization | 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 |
02Scope
Methods, data and supports
- Method families
- financial risk, monte carlo, bayesian inference, time series, optimization, decision analysis, copula dependence
- Domains
- 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
03Standards