balabs-risk-kernel 0.1.1

Risk model v2 liquidation kernel — pure compute, no DB access

risk-kernel

The risk model v2 liquidation-simulation kernel as a standalone package — pure compute (numpy + stdlib), zero DB access, no write path. Powers the on-demand LTV↔CRR estimator endpoint in core-api (office #490).

The kernel operates on in-memory PricePaths / SellOrderbook / BorrowerPosition structures (risk_kernel.liquidator.types); loading those inputs from a database is the consumer's job, never this package's.

Consumers

• core-api — installs this package from PyPI (risk-kernel) and runs the kernel in-process for the estimator endpoint.
• core — NOT hooked up yet, deliberately out of scope for now. core keeps its own in-tree copy at src/risk_model_v2/liquidator/ and remains the production source of truth for kernel logic.

Source of truth & sync protocol

Until core itself consumes this package, this repo is a mirror of core's kernel, pinned to:

• source: blockanalitica/core src/risk_model_v2/liquidator/
• commit: c0bb2732e51cbb2338e0db5f49799088529e003c (main, 2026-07-03)

Kernel changes land in core first (production model), then get pulled here:

git -C ../core diff <pinned-commit>..main -- src/risk_model_v2/liquidator/

Apply the changes to src/risk_kernel/, bump the pin above and the package version, then bump the pin in consumers. The divergences below are expected diff noise; everything else must match, e.g.:

diff -r ../core/src/risk_model_v2/liquidator/ src/risk_kernel/liquidator/

There is no test guardrail — the pin is the only drift baseline.

Deliberate divergences from core (the ONLY ones allowed)

1. Persistence stripped from liquidator/pipeline/processors/liquidator.py: the _persist_market_crr / _persist_scenario_paths / _rewrite_market_crr_tiers / _prune_market_crr_snapshot24 methods, their call sites in sync(), the risk_model_v2.models import block, and the imports only they used (asdict, timedelta, MARKET_CRR_SNAPSHOT24_RETENTION_DAYS, CapturedScenarioPaths, select_bands). sync() computes and returns CRRSummary objects, nothing else. pipeline/scenario_paths.py is unused after the strip but kept verbatim so the drift diff stays trivial.
2. Package renamed: core's risk_model_v2.liquidator → risk_kernel.liquidator (mechanical import rewrite; tree structure is otherwise 1:1 so the diff above works).
3. constants.py is a 3-constant subset of core's src/risk_model_v2/constants.py (FORECAST_STEP, N_MC, SEED) — the only values the kernel imports from outside the liquidator subtree.

Anything else diverging from core = drift = bug.