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POST
Calculate Component 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
returns_by_factor
object
required

Dictionary mapping factor/asset names to their historical return arrays

Example:
weights
object
required

Portfolio weights for each factor (must sum to 1.0)

Example:
confidence
number
default:0.99

Confidence level for VaR calculation

Example:

0.99

portfolio_value
number
default:1000000

Total portfolio value

Example:

1000000

Response

Successful component VaR calculation

success
boolean
Example:

true

data
object

Component VaR for each factor

Example: