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POST
Incremental Value at Risk

Authorizations

X-API-Key
string
header
required

API key for authentication. Get your key at https://api.fincept.in/auth/register

Body

application/json
weights
number[]
required

Current portfolio weights (should sum to 1.0)

Example:
covariance_matrix
number[][]
required

Asset covariance matrix (annualized)

Example:
new_weight
number
default:0.05

Additional weight to allocate to the asset (e.g., 0.05 for 5% increase)

Required range: -1 <= x <= 1
Example:

0.05

asset_index
integer
default:0

Index of the asset to add/increase (0-based)

Required range: x >= 0
Example:

0

confidence
number
default:0.95

Confidence level for VaR calculation

Required range: 0.5 <= x <= 0.999
Example:

0.95

Response

Incremental VaR successfully calculated

success
boolean
Example:

true

data
object