TODO_TAGS_REVIEW

FRTB IMA Expected Shortfall Pre-Validator

FRTB IMA Expected Shortfall pre-validation: MC simulation across liquidity horizons LH1–LH5 (10/20/40/60/120 days), NMRF surcharge estimation, PLA Test (green/amber/red), IMA vs SA floor capital comparison. Educational pre-validator ahead of UK IMA go-live January 2028.

Tool URL: https://ainumbers.co/chaingraph/rca-01-frtb-ima-pre-validator.html AP2/Policy Mandate export: yes

post/v1/tools/simulate_frtb_es

Request

  • Base URL: https://ainumbers.co
  • URL: https://ainumbers.co/v1/tools/simulate_frtb_es
  • Auth: none declared

Request body

confidenceLevelnumber required
nPositionsnumber required
nRiskClassesnumber required
nScenariosnumber required
nmrfRatenumber required
seednumber required

Response

Successful tool execution result

capital_imanumber
capital_requirednumber
confidence_levelnumber
es_97_5_pctnumber
es_by_lh_classnumber[]
floor_bindingboolean
n_positionsinteger
n_scenariosinteger
nmrf_surchargeinteger
pla_rationumber
pla_test_statusstring
sa_floornumber
undiversified_esnumber
verdictstring

Changes

No recorded changes to this operation across all 1 revision of this API.