Portfolio Variance-Covariance Value-at-Risk (VaR) Engine

Calculates daily VaR, Expected Shortfall (ES), and parametric tail risk profiles across multi-asset portfolios.

Quant Finance MCP Tool · Portfolio Risk 3738 installs Open source · Free Eval-verified

Risk Managers · Portfolio holdings data Volatility matrix matrices

Last updated Sep 1, 2026

Changelog

2026-09-01 Reviewed — no change Reviewed against the September 2026 eval suite — all assertions pass, no change to logic.

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MCP Config — Paste into Claude Desktop

Server: Portfolio Risk · Function: calculate_portfolio_var · 9 total tools · SSE endpoint ↗

{
  "mcpServers": {
    "portfolio_risk": {
      "url": "https://claudefinancelab.com/portfolio/sse"
    }
  }
}

SSE Endpoint ↗

Let Claude install it for you

Copy this prompt → paste into a new Claude conversation.

I want to install the ClaudeFinanceLab MCP server for "Portfolio Variance-Covariance Value-at-Risk (VaR) Engine".

Please add the following to my Claude Desktop config file:
- Mac path: ~/Library/Application Support/Claude/claude_desktop_config.json
- Windows path: %APPDATA%\Claude\claude_desktop_config.json

{
  "mcpServers": {
    "portfolio_risk": {
      "url": "https://claudefinancelab.com/portfolio/sse"
    }
  }
}

Open the file, merge this into the existing mcpServers block (don't overwrite other servers), save it, and tell me when done. I'll restart Claude Desktop after.

Works with Claude Desktop, Cursor, Windsurf, and any MCP-compatible client.

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Portfolio Variance-Covariance Value-at-Risk (VaR) Engine