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POST
/
quantlib
/
risk
/
correlation-stress
Correlation Stress Testing
curl --request POST \
  --url https://api.fincept.in/quantlib/risk/correlation-stress \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "correlation_matrix": [
    [
      1,
      0.6,
      0.4,
      0.2
    ],
    [
      0.6,
      1,
      0.5,
      0.3
    ],
    [
      0.4,
      0.5,
      1,
      0.35
    ],
    [
      0.2,
      0.3,
      0.35,
      1
    ]
  ],
  "stress_type": "crisis"
}
'
{
  "success": true,
  "data": {
    "stress_type": "crisis",
    "stressed_matrix": [
      [
        1,
        0.85,
        0.78,
        0.65
      ],
      [
        0.85,
        1,
        0.82,
        0.7
      ],
      [
        0.78,
        0.82,
        1,
        0.72
      ],
      [
        0.65,
        0.7,
        0.72,
        1
      ]
    ]
  }
}

Authorizations

​
X-API-Key
string
header
required

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

Body

application/json
​
correlation_matrix
number[][]
required

Baseline correlation matrix (must be symmetric positive semi-definite)

Example:
[[1, 0.5, 0.3], [0.5, 1, 0.4], [0.3, 0.4, 1]]
​
stress_type
enum<string>
default:crisis

Type of correlation stress scenario

Available options:
crisis,
decorrelation,
sign_flip
Example:

"crisis"

Response

Stressed correlation matrix

​
success
boolean
Example:

true

​
data
object