MCP For Claude Marketplace
Counterparty Credit Risk Analyzer

Counterparty Credit Risk Analyzer MCP Connector for Claude

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Calculates credit risk exposure, default losses, and concentration risk for counterparty portfolios.

4 tools Official Updated Oct 1, 2026 Official Vinkius Partner
More Details Connect to Claude

This MCP server provides advanced tools for managing counterparty credit risk. It allows AI agents to calculate the weighted average risk of a portfolio using get_weighted_average_risk, determine expected monetary losses with calculate_default_exposure, and identify risk concentration via check_concentration_risk. It also helps identify necessary mitigations through calculate_enhancement_needs.

credit-riskexposurecounterpartyfinance-toolsrisk-modeling

4 tools expose this connector's capabilities to your AI agent.

calculate_default_exposure

Determines the expected monetary loss from potential defaults

calculate_enhancement_needs

Identifies the gap between current exposure and a target safety level

check_concentration_risk

Evaluates if the risk is too heavily concentrated in specific credit tiers

get_weighted_average_risk

Calculates the aggregate risk level for a set of counterparties

See how to talk to your AI agent using Counterparty Credit Risk Analyzer.

What is the weighted average risk for ratings ['AAA', 'BBB'] with contract values [1000000, 500000]?

The weighted average risk for the provided portfolio is 0.025.

Calculate the default exposure for a rating of 'B' with a contract value of 500000, a guarantee of 50000, and insurance of 20000.

The total default exposure is 50000 and the net exposure is 0.

Is there a concentration risk if my total contract value is 1000000 and 'AAA' tier holds 600000, with a threshold of 0.5?

Yes, there is a concentration breach in the 'AAA' tier as it represents 60% of the total value, exceeding the 50% threshold.

You can use the `calculate_default_exposure` tool by providing the credit ratings, contract values, and any applied guarantees or insurance.

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