Calculates Value at Risk using the historical simulation method. This approach uses actual historical return data to estimate VaR without assuming any distribution. More accurate for non-normal distributions and captures tail risk better than parametric methods. Requires historical return time series data.
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Historical returns as decimals (e.g., 0.01 for 1% return)
100[-0.03, 0.02, -0.01, 0.015, -0.005]Confidence level for VaR calculation
0.5 <= x <= 0.9990.99
Total portfolio value in currency units
1000000