Skip to main content

​
Risk Management Examples

Calculate VaR, run stress tests, compute CVA.

​
Parametric VaR

import requests

returns = [-0.02, 0.01, -0.015, 0.03, -0.01, 0.02, -0.005, 0.015]

response = requests.post(
    "https://finceptbackend.share.zrok.io/quantlib/risk/var-parametric",
    headers={"X-API-Key": API_KEY},
    json={
        "returns": returns,
        "confidence_level": 0.95,
        "method": "normal"
    }
)

var_95 = response.json()['data']['var']
print(f"95% VaR: {var_95}")
Cost: 5 credits

​
Stress Testing

response = requests.post(
    "https://finceptbackend.share.zrok.io/quantlib/risk/stress-test",
    headers={"X-API-Key": API_KEY},
    json={
        "portfolio_value": 1000000,
        "positions": [...],
        "scenarios": [
            {"name": "2008_crisis", "shocks": {...}},
            {"name": "covid_2020", "shocks": {...}}
        ]
    }
)
Cost: 5 credits More examples →