Generalized Pareto Distribution (GPD) - Peaks Over Threshold
curl --request POST \
--url https://api.fincept.in/quantlib/risk/evt/gpd \
--header 'Content-Type: application/json' \
--header 'X-API-Key: <api-key>' \
--data '
{
"data": [
-0.01,
-0.05,
-0.03,
-0.08,
-0.02,
-0.12,
-0.04
],
"threshold": -0.05,
"quantile": 0.9,
"fit_method": "mle"
}
'import requests
url = "https://api.fincept.in/quantlib/risk/evt/gpd"
payload = {
"data": [-0.01, -0.05, -0.03, -0.08, -0.02, -0.12, -0.04],
"threshold": -0.05,
"quantile": 0.9,
"fit_method": "mle"
}
headers = {
"X-API-Key": "<api-key>",
"Content-Type": "application/json"
}
response = requests.post(url, json=payload, headers=headers)
print(response.text)const options = {
method: 'POST',
headers: {'X-API-Key': '<api-key>', 'Content-Type': 'application/json'},
body: JSON.stringify({
data: [-0.01, -0.05, -0.03, -0.08, -0.02, -0.12, -0.04],
threshold: -0.05,
quantile: 0.9,
fit_method: 'mle'
})
};
fetch('https://api.fincept.in/quantlib/risk/evt/gpd', options)
.then(res => res.json())
.then(res => console.log(res))
.catch(err => console.error(err));<?php
$curl = curl_init();
curl_setopt_array($curl, [
CURLOPT_URL => "https://api.fincept.in/quantlib/risk/evt/gpd",
CURLOPT_RETURNTRANSFER => true,
CURLOPT_ENCODING => "",
CURLOPT_MAXREDIRS => 10,
CURLOPT_TIMEOUT => 30,
CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
CURLOPT_CUSTOMREQUEST => "POST",
CURLOPT_POSTFIELDS => json_encode([
'data' => [
-0.01,
-0.05,
-0.03,
-0.08,
-0.02,
-0.12,
-0.04
],
'threshold' => -0.05,
'quantile' => 0.9,
'fit_method' => 'mle'
]),
CURLOPT_HTTPHEADER => [
"Content-Type: application/json",
"X-API-Key: <api-key>"
],
]);
$response = curl_exec($curl);
$err = curl_error($curl);
curl_close($curl);
if ($err) {
echo "cURL Error #:" . $err;
} else {
echo $response;
}package main
import (
"fmt"
"strings"
"net/http"
"io"
)
func main() {
url := "https://api.fincept.in/quantlib/risk/evt/gpd"
payload := strings.NewReader("{\n \"data\": [\n -0.01,\n -0.05,\n -0.03,\n -0.08,\n -0.02,\n -0.12,\n -0.04\n ],\n \"threshold\": -0.05,\n \"quantile\": 0.9,\n \"fit_method\": \"mle\"\n}")
req, _ := http.NewRequest("POST", url, payload)
req.Header.Add("X-API-Key", "<api-key>")
req.Header.Add("Content-Type", "application/json")
res, _ := http.DefaultClient.Do(req)
defer res.Body.Close()
body, _ := io.ReadAll(res.Body)
fmt.Println(string(body))
}HttpResponse<String> response = Unirest.post("https://api.fincept.in/quantlib/risk/evt/gpd")
.header("X-API-Key", "<api-key>")
.header("Content-Type", "application/json")
.body("{\n \"data\": [\n -0.01,\n -0.05,\n -0.03,\n -0.08,\n -0.02,\n -0.12,\n -0.04\n ],\n \"threshold\": -0.05,\n \"quantile\": 0.9,\n \"fit_method\": \"mle\"\n}")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.fincept.in/quantlib/risk/evt/gpd")
http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true
request = Net::HTTP::Post.new(url)
request["X-API-Key"] = '<api-key>'
request["Content-Type"] = 'application/json'
request.body = "{\n \"data\": [\n -0.01,\n -0.05,\n -0.03,\n -0.08,\n -0.02,\n -0.12,\n -0.04\n ],\n \"threshold\": -0.05,\n \"quantile\": 0.9,\n \"fit_method\": \"mle\"\n}"
response = http.request(request)
puts response.read_body{
"success": true,
"data": {
"threshold": -0.05,
"xi": 0.23,
"beta": 0.018,
"n_exceedances": 45,
"extreme_quantile_99": -0.142,
"expected_shortfall": -0.095
}
}{
"detail": "Invalid API key"
}{
"detail": "Insufficient credits. This endpoint requires 5 credits."
}{
"detail": [
{
"loc": [
"<string>"
],
"msg": "<string>",
"type": "<string>"
}
]
}quantlib-risk
Generalized Pareto Distribution (GPD) - Peaks Over Threshold
Fits a Generalized Pareto Distribution to extreme tail events using the Peaks Over Threshold (POT) method. GPD is specifically designed to model the tail of a distribution and estimate extreme quantiles beyond observed data. Critical for estimating tail VaR, stress losses, and operational risk capital under Basel III. [Tier: PRO, Credits: 5]
POST
/
quantlib
/
risk
/
evt
/
gpd
Generalized Pareto Distribution (GPD) - Peaks Over Threshold
curl --request POST \
--url https://api.fincept.in/quantlib/risk/evt/gpd \
--header 'Content-Type: application/json' \
--header 'X-API-Key: <api-key>' \
--data '
{
"data": [
-0.01,
-0.05,
-0.03,
-0.08,
-0.02,
-0.12,
-0.04
],
"threshold": -0.05,
"quantile": 0.9,
"fit_method": "mle"
}
'import requests
url = "https://api.fincept.in/quantlib/risk/evt/gpd"
payload = {
"data": [-0.01, -0.05, -0.03, -0.08, -0.02, -0.12, -0.04],
"threshold": -0.05,
"quantile": 0.9,
"fit_method": "mle"
}
headers = {
"X-API-Key": "<api-key>",
"Content-Type": "application/json"
}
response = requests.post(url, json=payload, headers=headers)
print(response.text)const options = {
method: 'POST',
headers: {'X-API-Key': '<api-key>', 'Content-Type': 'application/json'},
body: JSON.stringify({
data: [-0.01, -0.05, -0.03, -0.08, -0.02, -0.12, -0.04],
threshold: -0.05,
quantile: 0.9,
fit_method: 'mle'
})
};
fetch('https://api.fincept.in/quantlib/risk/evt/gpd', options)
.then(res => res.json())
.then(res => console.log(res))
.catch(err => console.error(err));<?php
$curl = curl_init();
curl_setopt_array($curl, [
CURLOPT_URL => "https://api.fincept.in/quantlib/risk/evt/gpd",
CURLOPT_RETURNTRANSFER => true,
CURLOPT_ENCODING => "",
CURLOPT_MAXREDIRS => 10,
CURLOPT_TIMEOUT => 30,
CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
CURLOPT_CUSTOMREQUEST => "POST",
CURLOPT_POSTFIELDS => json_encode([
'data' => [
-0.01,
-0.05,
-0.03,
-0.08,
-0.02,
-0.12,
-0.04
],
'threshold' => -0.05,
'quantile' => 0.9,
'fit_method' => 'mle'
]),
CURLOPT_HTTPHEADER => [
"Content-Type: application/json",
"X-API-Key: <api-key>"
],
]);
$response = curl_exec($curl);
$err = curl_error($curl);
curl_close($curl);
if ($err) {
echo "cURL Error #:" . $err;
} else {
echo $response;
}package main
import (
"fmt"
"strings"
"net/http"
"io"
)
func main() {
url := "https://api.fincept.in/quantlib/risk/evt/gpd"
payload := strings.NewReader("{\n \"data\": [\n -0.01,\n -0.05,\n -0.03,\n -0.08,\n -0.02,\n -0.12,\n -0.04\n ],\n \"threshold\": -0.05,\n \"quantile\": 0.9,\n \"fit_method\": \"mle\"\n}")
req, _ := http.NewRequest("POST", url, payload)
req.Header.Add("X-API-Key", "<api-key>")
req.Header.Add("Content-Type", "application/json")
res, _ := http.DefaultClient.Do(req)
defer res.Body.Close()
body, _ := io.ReadAll(res.Body)
fmt.Println(string(body))
}HttpResponse<String> response = Unirest.post("https://api.fincept.in/quantlib/risk/evt/gpd")
.header("X-API-Key", "<api-key>")
.header("Content-Type", "application/json")
.body("{\n \"data\": [\n -0.01,\n -0.05,\n -0.03,\n -0.08,\n -0.02,\n -0.12,\n -0.04\n ],\n \"threshold\": -0.05,\n \"quantile\": 0.9,\n \"fit_method\": \"mle\"\n}")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.fincept.in/quantlib/risk/evt/gpd")
http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true
request = Net::HTTP::Post.new(url)
request["X-API-Key"] = '<api-key>'
request["Content-Type"] = 'application/json'
request.body = "{\n \"data\": [\n -0.01,\n -0.05,\n -0.03,\n -0.08,\n -0.02,\n -0.12,\n -0.04\n ],\n \"threshold\": -0.05,\n \"quantile\": 0.9,\n \"fit_method\": \"mle\"\n}"
response = http.request(request)
puts response.read_body{
"success": true,
"data": {
"threshold": -0.05,
"xi": 0.23,
"beta": 0.018,
"n_exceedances": 45,
"extreme_quantile_99": -0.142,
"expected_shortfall": -0.095
}
}{
"detail": "Invalid API key"
}{
"detail": "Insufficient credits. This endpoint requires 5 credits."
}{
"detail": [
{
"loc": [
"<string>"
],
"msg": "<string>",
"type": "<string>"
}
]
}Authorizations
API key for authentication. Get your key at https://api.fincept.in/auth/register
Body
application/json
Loss or return data for tail analysis
Minimum array length:
100Example:
[-0.01, -0.05, -0.03, -0.08]
Threshold value for defining extreme events (auto-selected if not provided)
Example:
-0.04
Quantile level for threshold selection if threshold not provided
Example:
0.95
Fitting method for GPD parameters
Available options:
mle, pwm Example:
"mle"
⌘I
