QuantRisk
Portfolio risk analytics — VaR, Monte Carlo, optimization, options Greeks, stress testing.
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Portfolio risk analytics — VaR, Monte Carlo, optimization, options Greeks, stress testing.
Server tool list (10)
Raw names from tools/list. Only developers need these.
| analyze_risk | Calculate core risk metrics for a portfolio — Value at Risk (VaR), Conditional VaR (CVaR), volatility, beta, and max drawdown. |
| monte_carlo_simulation | Run Monte Carlo simulation on a portfolio to model the distribution of future returns, including percentile outcomes and probability of loss. |
| stress_test | Stress test a portfolio against historical crisis scenarios (GFC 2008, COVID 2020, etc.) or custom shocks (paid tier). |
| optimize_portfolio | Find the optimal portfolio allocation using mean-variance optimization. Supports max Sharpe, min variance, and target return objectives. Paid tier only. |
| correlation_matrix | Compute the pairwise correlation matrix for a set of assets. Identifies highly correlated pairs and diversification opportunities. |
| performance_attribution | Break down portfolio performance into factor exposures, sector allocation, and position contributions. Computes Sharpe, Sortino, Treynor, Calmar, and Information ratios. |
| sector_exposure | Break down portfolio exposure by GICS sector, market cap, and asset class. Returns concentration metrics including the Herfindahl-Hirschman Index. |
| price_history | Fetch historical OHLCV price data for one or more tickers. Free tier: 1 ticker, 252 days. Paid tier: up to 20 tickers, 1260 days. |
| compare_portfolios | Compare two or more portfolio allocations head-to-head across all key risk and return metrics. Paid tier only. |
| calculate_greeks | Calculate option Greeks (delta, gamma, theta, vega, rho) for individual options or an options portfolio. Uses Black-Scholes for European, binomial for American style. Paid tier only. |