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Risk Module

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Key Features

• 📊 VaR (parametric, historical, Monte Carlo)
• 🎯 Component/Incremental/Marginal VaR
• 💥 Stress testing & scenario analysis
• 🔗 Copulas (Gaussian, Student-t, Archimedean)
• 📉 Extreme Value Theory (GPD, GEV)
• 💰 XVA calculations (CVA, PFE)
• 🎲 Sensitivities & Greeks
• 🛡️ Optimal hedging

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Popular Endpoints

POST /quantlib/risk/var-parametric
{
  "returns": [-0.02, 0.01, -0.015, 0.03],
  "confidence_level": 0.95,
  "method": "normal"
}

POST /quantlib/risk/cva
{
  "exposure": [...],
  "default_probability": 0.02,
  "recovery_rate": 0.4,
  "discount_curve": [...]
}