Portfolio Value at Risk (VaR)
curl --request POST \
--url https://api.fincept.in/quantlib/portfolio/risk/var \
--header 'Content-Type: application/json' \
--header 'X-API-Key: <api-key>' \
--data '
{
"weights": [
0.3,
0.25,
0.25,
0.2
],
"covariance_matrix": [
[
0.04,
0.006,
0.008,
0.01
],
[
0.006,
0.09,
0.012,
0.015
],
[
0.008,
0.012,
0.0625,
0.018
],
[
0.01,
0.015,
0.018,
0.16
]
],
"confidence": 0.95,
"horizon": 0.00396825,
"portfolio_value": 1000000,
"method": "parametric"
}
'import requests
url = "https://api.fincept.in/quantlib/portfolio/risk/var"
payload = {
"weights": [0.3, 0.25, 0.25, 0.2],
"covariance_matrix": [[0.04, 0.006, 0.008, 0.01], [0.006, 0.09, 0.012, 0.015], [0.008, 0.012, 0.0625, 0.018], [0.01, 0.015, 0.018, 0.16]],
"confidence": 0.95,
"horizon": 0.00396825,
"portfolio_value": 1000000,
"method": "parametric"
}
headers = {
"X-API-Key": "<api-key>",
"Content-Type": "application/json"
}
response = requests.post(url, json=payload, headers=headers)
print(response.text)const options = {
method: 'POST',
headers: {'X-API-Key': '<api-key>', 'Content-Type': 'application/json'},
body: JSON.stringify({
weights: [0.3, 0.25, 0.25, 0.2],
covariance_matrix: [
[0.04, 0.006, 0.008, 0.01],
[0.006, 0.09, 0.012, 0.015],
[0.008, 0.012, 0.0625, 0.018],
[0.01, 0.015, 0.018, 0.16]
],
confidence: 0.95,
horizon: 0.00396825,
portfolio_value: 1000000,
method: 'parametric'
})
};
fetch('https://api.fincept.in/quantlib/portfolio/risk/var', options)
.then(res => res.json())
.then(res => console.log(res))
.catch(err => console.error(err));<?php
$curl = curl_init();
curl_setopt_array($curl, [
CURLOPT_URL => "https://api.fincept.in/quantlib/portfolio/risk/var",
CURLOPT_RETURNTRANSFER => true,
CURLOPT_ENCODING => "",
CURLOPT_MAXREDIRS => 10,
CURLOPT_TIMEOUT => 30,
CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
CURLOPT_CUSTOMREQUEST => "POST",
CURLOPT_POSTFIELDS => json_encode([
'weights' => [
0.3,
0.25,
0.25,
0.2
],
'covariance_matrix' => [
[
0.04,
0.006,
0.008,
0.01
],
[
0.006,
0.09,
0.012,
0.015
],
[
0.008,
0.012,
0.0625,
0.018
],
[
0.01,
0.015,
0.018,
0.16
]
],
'confidence' => 0.95,
'horizon' => 0.00396825,
'portfolio_value' => 1000000,
'method' => 'parametric'
]),
CURLOPT_HTTPHEADER => [
"Content-Type: application/json",
"X-API-Key: <api-key>"
],
]);
$response = curl_exec($curl);
$err = curl_error($curl);
curl_close($curl);
if ($err) {
echo "cURL Error #:" . $err;
} else {
echo $response;
}package main
import (
"fmt"
"strings"
"net/http"
"io"
)
func main() {
url := "https://api.fincept.in/quantlib/portfolio/risk/var"
payload := strings.NewReader("{\n \"weights\": [\n 0.3,\n 0.25,\n 0.25,\n 0.2\n ],\n \"covariance_matrix\": [\n [\n 0.04,\n 0.006,\n 0.008,\n 0.01\n ],\n [\n 0.006,\n 0.09,\n 0.012,\n 0.015\n ],\n [\n 0.008,\n 0.012,\n 0.0625,\n 0.018\n ],\n [\n 0.01,\n 0.015,\n 0.018,\n 0.16\n ]\n ],\n \"confidence\": 0.95,\n \"horizon\": 0.00396825,\n \"portfolio_value\": 1000000,\n \"method\": \"parametric\"\n}")
req, _ := http.NewRequest("POST", url, payload)
req.Header.Add("X-API-Key", "<api-key>")
req.Header.Add("Content-Type", "application/json")
res, _ := http.DefaultClient.Do(req)
defer res.Body.Close()
body, _ := io.ReadAll(res.Body)
fmt.Println(string(body))
}HttpResponse<String> response = Unirest.post("https://api.fincept.in/quantlib/portfolio/risk/var")
.header("X-API-Key", "<api-key>")
.header("Content-Type", "application/json")
.body("{\n \"weights\": [\n 0.3,\n 0.25,\n 0.25,\n 0.2\n ],\n \"covariance_matrix\": [\n [\n 0.04,\n 0.006,\n 0.008,\n 0.01\n ],\n [\n 0.006,\n 0.09,\n 0.012,\n 0.015\n ],\n [\n 0.008,\n 0.012,\n 0.0625,\n 0.018\n ],\n [\n 0.01,\n 0.015,\n 0.018,\n 0.16\n ]\n ],\n \"confidence\": 0.95,\n \"horizon\": 0.00396825,\n \"portfolio_value\": 1000000,\n \"method\": \"parametric\"\n}")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.fincept.in/quantlib/portfolio/risk/var")
http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true
request = Net::HTTP::Post.new(url)
request["X-API-Key"] = '<api-key>'
request["Content-Type"] = 'application/json'
request.body = "{\n \"weights\": [\n 0.3,\n 0.25,\n 0.25,\n 0.2\n ],\n \"covariance_matrix\": [\n [\n 0.04,\n 0.006,\n 0.008,\n 0.01\n ],\n [\n 0.006,\n 0.09,\n 0.012,\n 0.015\n ],\n [\n 0.008,\n 0.012,\n 0.0625,\n 0.018\n ],\n [\n 0.01,\n 0.015,\n 0.018,\n 0.16\n ]\n ],\n \"confidence\": 0.95,\n \"horizon\": 0.00396825,\n \"portfolio_value\": 1000000,\n \"method\": \"parametric\"\n}"
response = http.request(request)
puts response.read_body{
"success": true,
"data": {
"var": 52345.67,
"confidence": 0.95,
"method": "parametric"
}
}{
"detail": "Invalid API key"
}{
"detail": "Insufficient credits. This endpoint requires 5 credits."
}{
"detail": [
{
"loc": [
"body",
"expected_returns"
],
"msg": "field required",
"type": "value_error.missing"
}
]
}quantlib-portfolio
Portfolio Value at Risk (VaR)
Calculates portfolio Value at Risk (VaR) - the maximum expected loss over a given time horizon at a specified confidence level. Supports parametric (variance-covariance) method.
Use Cases:
- Risk limit monitoring and compliance
- Capital allocation and reserve requirements
- Stress testing and scenario analysis
- Regulatory reporting (Basel III, Solvency II)
Method:
- parametric: Assumes normal distribution of returns. Fast and suitable for linear portfolios.
Interpretation: VaR of 50,000at9550,000 over the horizon.
Credits: 5 per request [Tier: PRO, Credits: 5]
POST
/
quantlib
/
portfolio
/
risk
/
var
Portfolio Value at Risk (VaR)
curl --request POST \
--url https://api.fincept.in/quantlib/portfolio/risk/var \
--header 'Content-Type: application/json' \
--header 'X-API-Key: <api-key>' \
--data '
{
"weights": [
0.3,
0.25,
0.25,
0.2
],
"covariance_matrix": [
[
0.04,
0.006,
0.008,
0.01
],
[
0.006,
0.09,
0.012,
0.015
],
[
0.008,
0.012,
0.0625,
0.018
],
[
0.01,
0.015,
0.018,
0.16
]
],
"confidence": 0.95,
"horizon": 0.00396825,
"portfolio_value": 1000000,
"method": "parametric"
}
'import requests
url = "https://api.fincept.in/quantlib/portfolio/risk/var"
payload = {
"weights": [0.3, 0.25, 0.25, 0.2],
"covariance_matrix": [[0.04, 0.006, 0.008, 0.01], [0.006, 0.09, 0.012, 0.015], [0.008, 0.012, 0.0625, 0.018], [0.01, 0.015, 0.018, 0.16]],
"confidence": 0.95,
"horizon": 0.00396825,
"portfolio_value": 1000000,
"method": "parametric"
}
headers = {
"X-API-Key": "<api-key>",
"Content-Type": "application/json"
}
response = requests.post(url, json=payload, headers=headers)
print(response.text)const options = {
method: 'POST',
headers: {'X-API-Key': '<api-key>', 'Content-Type': 'application/json'},
body: JSON.stringify({
weights: [0.3, 0.25, 0.25, 0.2],
covariance_matrix: [
[0.04, 0.006, 0.008, 0.01],
[0.006, 0.09, 0.012, 0.015],
[0.008, 0.012, 0.0625, 0.018],
[0.01, 0.015, 0.018, 0.16]
],
confidence: 0.95,
horizon: 0.00396825,
portfolio_value: 1000000,
method: 'parametric'
})
};
fetch('https://api.fincept.in/quantlib/portfolio/risk/var', options)
.then(res => res.json())
.then(res => console.log(res))
.catch(err => console.error(err));<?php
$curl = curl_init();
curl_setopt_array($curl, [
CURLOPT_URL => "https://api.fincept.in/quantlib/portfolio/risk/var",
CURLOPT_RETURNTRANSFER => true,
CURLOPT_ENCODING => "",
CURLOPT_MAXREDIRS => 10,
CURLOPT_TIMEOUT => 30,
CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
CURLOPT_CUSTOMREQUEST => "POST",
CURLOPT_POSTFIELDS => json_encode([
'weights' => [
0.3,
0.25,
0.25,
0.2
],
'covariance_matrix' => [
[
0.04,
0.006,
0.008,
0.01
],
[
0.006,
0.09,
0.012,
0.015
],
[
0.008,
0.012,
0.0625,
0.018
],
[
0.01,
0.015,
0.018,
0.16
]
],
'confidence' => 0.95,
'horizon' => 0.00396825,
'portfolio_value' => 1000000,
'method' => 'parametric'
]),
CURLOPT_HTTPHEADER => [
"Content-Type: application/json",
"X-API-Key: <api-key>"
],
]);
$response = curl_exec($curl);
$err = curl_error($curl);
curl_close($curl);
if ($err) {
echo "cURL Error #:" . $err;
} else {
echo $response;
}package main
import (
"fmt"
"strings"
"net/http"
"io"
)
func main() {
url := "https://api.fincept.in/quantlib/portfolio/risk/var"
payload := strings.NewReader("{\n \"weights\": [\n 0.3,\n 0.25,\n 0.25,\n 0.2\n ],\n \"covariance_matrix\": [\n [\n 0.04,\n 0.006,\n 0.008,\n 0.01\n ],\n [\n 0.006,\n 0.09,\n 0.012,\n 0.015\n ],\n [\n 0.008,\n 0.012,\n 0.0625,\n 0.018\n ],\n [\n 0.01,\n 0.015,\n 0.018,\n 0.16\n ]\n ],\n \"confidence\": 0.95,\n \"horizon\": 0.00396825,\n \"portfolio_value\": 1000000,\n \"method\": \"parametric\"\n}")
req, _ := http.NewRequest("POST", url, payload)
req.Header.Add("X-API-Key", "<api-key>")
req.Header.Add("Content-Type", "application/json")
res, _ := http.DefaultClient.Do(req)
defer res.Body.Close()
body, _ := io.ReadAll(res.Body)
fmt.Println(string(body))
}HttpResponse<String> response = Unirest.post("https://api.fincept.in/quantlib/portfolio/risk/var")
.header("X-API-Key", "<api-key>")
.header("Content-Type", "application/json")
.body("{\n \"weights\": [\n 0.3,\n 0.25,\n 0.25,\n 0.2\n ],\n \"covariance_matrix\": [\n [\n 0.04,\n 0.006,\n 0.008,\n 0.01\n ],\n [\n 0.006,\n 0.09,\n 0.012,\n 0.015\n ],\n [\n 0.008,\n 0.012,\n 0.0625,\n 0.018\n ],\n [\n 0.01,\n 0.015,\n 0.018,\n 0.16\n ]\n ],\n \"confidence\": 0.95,\n \"horizon\": 0.00396825,\n \"portfolio_value\": 1000000,\n \"method\": \"parametric\"\n}")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.fincept.in/quantlib/portfolio/risk/var")
http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true
request = Net::HTTP::Post.new(url)
request["X-API-Key"] = '<api-key>'
request["Content-Type"] = 'application/json'
request.body = "{\n \"weights\": [\n 0.3,\n 0.25,\n 0.25,\n 0.2\n ],\n \"covariance_matrix\": [\n [\n 0.04,\n 0.006,\n 0.008,\n 0.01\n ],\n [\n 0.006,\n 0.09,\n 0.012,\n 0.015\n ],\n [\n 0.008,\n 0.012,\n 0.0625,\n 0.018\n ],\n [\n 0.01,\n 0.015,\n 0.018,\n 0.16\n ]\n ],\n \"confidence\": 0.95,\n \"horizon\": 0.00396825,\n \"portfolio_value\": 1000000,\n \"method\": \"parametric\"\n}"
response = http.request(request)
puts response.read_body{
"success": true,
"data": {
"var": 52345.67,
"confidence": 0.95,
"method": "parametric"
}
}{
"detail": "Invalid API key"
}{
"detail": "Insufficient credits. This endpoint requires 5 credits."
}{
"detail": [
{
"loc": [
"body",
"expected_returns"
],
"msg": "field required",
"type": "value_error.missing"
}
]
}Authorizations
API key for authentication. Get your key at https://api.fincept.in/auth/register
Body
application/json
Portfolio weights (should sum to 1.0)
Example:
[0.3, 0.25, 0.25, 0.2]
Asset covariance matrix (annualized)
Example:
[
[0.04, 0.006, 0.008, 0.01],
[0.006, 0.09, 0.012, 0.015],
[0.008, 0.012, 0.0625, 0.018],
[0.01, 0.015, 0.018, 0.16]
]
Confidence level (e.g., 0.95 for 95% VaR)
Required range:
0.5 <= x <= 0.999Example:
0.95
Time horizon in years (e.g., 1/252 for daily, 1/12 for monthly)
Required range:
0.001 <= x <= 10Example:
0.00396825
Current portfolio value in currency units
Required range:
x >= 0Example:
1000000
VaR calculation method
Available options:
parametric Example:
"parametric"
⌘I
