Calculates the rate of change in portfolio VaR for a small increase in position size. This is the derivative of VaR with respect to position weight, useful for understanding how sensitive portfolio risk is to changes in a specific position. Critical for dynamic hedging and position sizing decisions.
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Historical returns of the existing portfolio
[0.01, -0.015, 0.008]Historical returns of the position being analyzed
[0.02, -0.025, 0.012]Current weight of the position in the portfolio
0.1
0.99