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POST
/
quantlib
/
risk
/
tail-risk
/
tail-dependence
Calculate Tail Dependence Coefficient
curl --request POST \
  --url https://api.fincept.in/quantlib/risk/tail-risk/tail-dependence \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "returns1": [
    0.008,
    -0.025,
    0.012,
    -0.042,
    0.018
  ],
  "returns2": [
    0.01,
    -0.028,
    0.015,
    -0.038,
    0.02
  ],
  "threshold_quantile": 0.9
}
'
{
  "success": true,
  "data": {
    "tail_dependence_coefficient": 0.68
  }
}

Authorizations

​
X-API-Key
string
header
required

API key for authentication. Get your key at https://api.fincept.in/auth/register

Body

application/json
​
returns1
number[]
required

Return series for first asset

Example:
[0.01, -0.03, 0.02]
​
returns2
number[]
required

Return series for second asset

Example:
[0.015, -0.025, 0.018]
​
threshold_quantile
number
default:0.95

Quantile threshold for defining tail events

Example:

0.95

Response

Tail dependence coefficient

​
success
boolean
Example:

true

​
data
object