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POST
Portfolio Value at Risk (VaR)

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

Portfolio weights (should sum to 1.0)

Example:
covariance_matrix
number[][]
required

Asset covariance matrix (annualized)

Example:
confidence
number
default:0.95

Confidence level (e.g., 0.95 for 95% VaR)

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

0.95

horizon
number
default:1

Time horizon in years (e.g., 1/252 for daily, 1/12 for monthly)

Required range: 0.001 <= x <= 10
Example:

0.00396825

portfolio_value
number
default:1000000

Current portfolio value in currency units

Required range: x >= 0
Example:

1000000

method
enum<string>
default:parametric

VaR calculation method

Available options:
parametric
Example:

"parametric"

Response

VaR successfully calculated

success
boolean
Example:

true

data
object