# chenxi-bot21/risk-analytics-mcp-server

Source: https://glimind.com/server/glama%2Fchenxi-bot21%2Frisk-analytics-mcp-server
Registry id: `glama/chenxi-bot21/risk-analytics-mcp-server`
Status: unknown

## Tools (7)

- `backtest_var`: Walk-forward VaR backtest with Kupiec POF, Christoffersen independence / conditional-coverage tests, and Basel traffic-light zone.
- `compute_var_es`: Portfolio VaR & Expected Shortfall four ways — historical, parametric-normal, Cornish-Fisher, Monte Carlo.
- `credit_model_summary`: The scorecard's held-out AUROC/Gini/KS and per-feature Information Values.
- `evt_tail_risk`: Peaks-over-threshold GPD tail fit; EVT VaR/ES for the 99.5%+ region.
- `garch_volatility`: GARCH(1,1) fit by maximum likelihood + mean-reverting h-day vol forecast.
- `score_credit_application`: 12-month PD, scorecard points and letter rating from a WoE logistic scorecard.
- `stress_test`: Preset crisis-shock library (GFC equity crash, 2020 pandemic, +200bp rates, flight to quality, USD squeeze) + portfolio's own worst historical windows.

Measured by Glimind (https://glimind.com): MCP handshake + tool list only, no tool is ever called. CC BY 4.0.