LQM Registry / risk
Probabilistic Portfolio Risk Surface
Seeded multivariate Monte Carlo risk surface across multiple horizons and confidence levels, emitting Value at Risk, Expected Shortfall and P&L distribution summaries.
Model key
lq.risk.probabilistic-surfaceVersion1.0.0
Runtimepython-process
Model contract
Inputs are explicit.
{
"type": "object",
"required": [
"weights",
"covariance"
],
"properties": {
"weights": {
"type": "array"
},
"expected_returns": {
"type": "array"
},
"covariance": {
"type": "array"
},
"portfolio_value": {
"type": "number"
}
}
}Output contract
Outputs are explicit.
{
"type": "object",
"required": [
"risk_surface",
"horizons",
"confidences",
"scenarios",
"seeded_reproducibility"
]
}Default parameters
{
"scenarios": 5000,
"horizons": [
1,
5,
20
],
"confidences": [
0.9499999999999999555910790149937383830547332763671875,
0.9899999999999999911182158029987476766109466552734375
]
}Example input
{
"weights": [
0.59999999999999997779553950749686919152736663818359375,
0.40000000000000002220446049250313080847263336181640625
],
"expected_returns": [
0.0004000000000000000191686944095437183932517655193805694580078125,
0.00020000000000000000958434720477185919662588275969028472900390625
],
"covariance": [
[
0.0004000000000000000191686944095437183932517655193805694580078125,
0.000120000000000000003040102891649354432956897653639316558837890625
],
[
0.000120000000000000003040102891649354432956897653639316558837890625,
0.0002249999999999999938417316602823348148376680910587310791015625
]
],
"portfolio_value": 1000000
}