Risk Cockpit Desk / Risk add-on
Book-level risk for the whole persona book — GARCH conditional-vol + VaR99, a volatility-regime gate, aggregate Book Greeks (net Δ / Γ / Vega / Θ), and a Σ/PCA factor-risk + correlated Monte-Carlo engine. Bloomberg PORT charges $2,665/mo for this. We ship it as a $79/mo Risk add-on (free inside Desk). Demo book shown; connect accounts on the Desk tier for your live book.
GARCH(1,1) conditional vol & VaR99
σ²t = ω + α·ε²t-1 + β·σ²t-1 · VaR99 = σnext·2.326·V
| Next-day σ (GARCH) | 1.94% |
| Persistence α+β | 0.962 (sticky) |
| Book VaR99 (1-day) | $29,527 |
| CVaR99 (expected shortfall) | $33,680 |
Volatility-regime gate
De-size (never veto) when forecast vol is in the top percentile band — the exact gate the kalshi June VOLATILITY_LOSS post-mortem calls for.
| Regime | ELEVATED |
| Vol percentile | 78th |
| Kelly size multiplier | ×0.62 (clip 0.25–1.0) |
| Multifractal τ(q) | non-linear (clustering) |
Book Greeks — net exposure (alpaca / ibkr / tradier + binary-Δ/Θ)
| Group | Net Δ | Net Γ | Net Vega | Net Θ/day |
|---|---|---|---|---|
| Options (alpaca/ibkr/tradier) | +142 | +8.3 | +$1,910 | −$212 |
| Binary events (∂price/∂P) | +0.61 | — | — | −$88 |
| Book total | +188 | +8.3 | +$1,910 | −$300 |
Fed by the R3f greeks publisher (real ClickHouse greeks → enriched:<venue>:greeks:<ticker>). Long-gamma ⇔ short-theta: you pay Θ to own convexity — the same tension behind our theta-exit doctrine.
Σ / PCA factor-risk + correlated Monte-Carlo
Portfolio variance wTΣw · PCA eigenfactors of Σ · Cholesky Σ=LLT for correlated-return MC.
| Hidden common factor | Var explained |
|---|---|
| PC1 | 37.6% |
| PC2 | 22.5% |
| PC3 | 17.1% |
| PC4–5 | 12.9% |
Mean off-diagonal correlation 0.0093 across 68 personas — near-zero, which is exactly why wTΣw shrinks and breadth (many small edges) compounds. The correlated-MC re-draws the whole book under Σ to stress the tail the naive independent sim misses.
CVaR / CDaR / risk-parity lab NEW · interactive
riskfolio-style tail + drawdown measures, computed live on your returns (own math, historical/non-parametric): CVaRα = E[loss | loss ≥ VaRα] · CDaRα = E[drawdown | dd ≥ DaRα] · risk-parity = equal-risk-contribution weights (each wi(Σw)i equal).
Demo 3-asset book prefilled — hit Compute.