{
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      "display_name": "Portfolio Covariance & VaR Engine",
      "mcp_name": "compute_portfolio_var",
      "mandate_type": "risk_control",
      "wave": 2,
      "gpu": true,
      "url": "https://ainumbers.co/chaingraph/qfa-02-portfolio-var-engine.html",
      "description": "VaR and Expected Shortfall: Historical Simulation, Parametric (variance-covariance), and Monte Carlo with Cholesky 2-factor correlation structure. P&L histogram (30 bins), 8×8 covariance heatmap. 500 assets, seeded LCG RNG. Buy-side zero-egress story.",
      "input_schema_ref": "chaingraph/qfa-02-portfolio-var-engine.html#manifest",
      "deadline": null,
      "deadline_note": "Buy-side; pre-validation ahead of FRTB-IMA UK Jan 2028",
      "consumes": [
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      ],
      "feeds": [
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        "rca-01-frtb-ima-pre-validator",
        "ptg-01-ap2-prompt-template-generator"
      ],
      "status": "live",
      "conformance_fixtures": false,
      "compute_capability": "server",
      "compute_proof_ready": "ready",
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          "system": "sha256-source",
          "image_id": "sha256:9051ffa2fd22d389890aa26c21be6f7d3f32a0da1de5ba47890946271487ebe3",
          "valid_from": "2026-07-12"
        },
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          "valid_from": "2026-07-12"
        }
      ],
      "compute_proof": {
        "type": "ZkVmReceipt",
        "system": "risc0",
        "receiptFormat": "groth16-bn254",
        "imageId": "sha256:a1a0bc89b5b1febaeda3519f6dbade0fa5ac16beeb143c4e1b01689573567bc6",
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        "journal": {
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          "kernel_digest": "sha256:9051ffa2fd22d389890aa26c21be6f7d3f32a0da1de5ba47890946271487ebe3",
          "output": {
            "compliance_flags": [
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            "es_dollar_mm": 6.7595,
            "hist_var_pct": 0.056619,
            "holding_period": 10,
            "mc_es_pct": 0.067595,
            "mc_var_pct": 0.056619,
            "n_paths": 2000,
            "param_es_pct": 0.070454,
            "param_var_pct": 0.061438,
            "portfolio_vol_hp": 2.6413,
            "var_dollar_mm": 5.6619,
            "verdict": "MODERATE_RISK"
          }
        }
      },
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