RCA-01 · Capital & Quantitative Risk · FRTB IMA · Educational / Pre-Validation

FRTB IMA Expected Shortfall Pre-Validator

Educational simulator for FRTB Internal Models Approach (IMA) Expected Shortfall computation across a synthetic trading book. Covers liquidity horizons LH1–LH5 (10–120 days), NMRF surcharge estimation, PLA test status, and IMA capital vs SA floor comparison. For pre-validation and educational scenario analysis ahead of UK IMA go-live January 2028. All computation is client-side — no trading book data transmitted.

simulate_frtb_es risk_parameter FRTB MAR30–33 UK IMA Jan 2028 PLA Test NMRF Surcharge
Educational / Pre-validation only. This tool uses synthetic position data and a simplified FRTB IMA model for scenario analysis. It does not constitute a regulatory-grade IMA calculation. UK FRTB IMA go-live: January 2028 (PRA CP17/25). EU: ~2029–30. All inputs are synthetic or user-provided; no data is transmitted.
Preset 1
Equity Book
50 positions · 3 LH classes · 5% NMRF
Preset 2
Mixed Rates Desk
100 positions · 4 LH classes · 10% NMRF
Preset 3
Large Mixed Book
200 positions · 5 LH classes · 15% NMRF
Chain Intake — paste AP2 JSON from QFA-02 (Portfolio VaR) or SIM-03 (Basel RWA)

Ask your agent

Copy this paragraph into Claude, OpenClaw, or any MCP-aware agent to run this exact tool, with this sample, and verify the artifact.

Run the AINumbers MCP tool `simulate_frtb_es`. Task: Run FRTB IMA expected-shortfall pre-validation across trading book positions and returns a structured risk_parameter mandate.
Call it with arguments: {"policy_parameters":{"nPositions":20,"nScenarios":500,"confidenceLevel":0.975,"nRiskClasses":3,"nmrfRate":0.05,"seed":42}}
Verify before trusting: call `verify_execution_hash` on mcp.ainumbers.co (https://mcp.ainumbers.co/mcp) with the parameter `claimed_hash` set to the returned `execution_hash`, passing the full artifact the run returned (the object containing `policy_parameters` + `output_payload` + `execution_hash`; equivalently `policy_parameters` + `output_payload` with `claimed_hash`), not the bare hash string.
Return the ledger link https://ledger.ainumbers.co/ so a human can re-verify without contacting us.
PII rule: All inputs are processed locally in your browser. No data is transmitted. Do not enter real personal data — use synthetic or anonymised inputs only.
Open the tool with the sample prefilled: https://ainumbers.co/chaingraph/rca-01-frtb-ima-pre-validator.html#p=v1.H4sIAAAAAAAA_wFlAJr_eyJuUG9zaXRpb25zIjoyMCwiblNjZW5hcmlvcyI6NTAwLCJjb25maWRlbmNlTGV2ZWwiOjAuOTc1LCJuUmlza0NsYXNzZXMiOjMsIm5tcmZSYXRlIjowLjA1LCJzZWVkIjo0Mn02b92oZQAAAA