Comprehensive Portfolio Risk Assessment

Performs an extensive portfolio risk analysis using historical returns data. Calculates a wide range of risk metrics including VaR, CVaR, volatility, Sharpe ratio, Sortino ratio, maximum drawdown, and more.

Use Cases:

• Complete portfolio performance evaluation
• Risk reporting for clients and regulators
• Historical backtesting and analysis
• Portfolio monitoring and surveillance

Metrics Included:

• Value at Risk (VaR) and Conditional VaR
• Portfolio volatility and downside deviation
• Sharpe ratio and Sortino ratio
• Maximum drawdown and drawdown duration
• Higher moments (skewness, kurtosis)
• Rolling volatility statistics

Credits: 5 per request [Tier: PRO, Credits: 5]

POST /quantlib/portfolio/risk/portfolio-comprehensive

Comprehensive Portfolio Risk Assessment

cURL

curl --request POST \
  --url https://api.fincept.in/quantlib/portfolio/risk/portfolio-comprehensive \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "returns": [
    [
      0.015,
      -0.008,
      0.023,
      0.012,
      -0.005
    ],
    [
      0.012,
      -0.006,
      0.019,
      0.01,
      -0.004
    ],
    [
      0.018,
      -0.009,
      0.021,
      0.014,
      -0.006
    ],
    [
      0.02,
      -0.012,
      0.025,
      0.016,
      -0.008
    ]
  ],
  "weights": [
    0.3,
    0.25,
    0.25,
    0.2
  ],
  "confidence": 0.95,
  "risk_free_rate": 0.0012
}
'

200

{
  "success": true,
  "data": {
    "volatility": 0.2145,
    "var_95": 0.0345,
    "cvar_95": 0.0482,
    "sharpe_ratio": 0.8234,
    "sortino_ratio": 1.1456,
    "max_drawdown": 0.1834,
    "skewness": -0.2341,
    "kurtosis": 3.4567
  }
}

Authorizations

X-API-Key · string · header · required

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

Body

application/json

returns · number[][] · required

Historical returns matrix (each inner array is the return time series for one asset)

Example:

[
  [0.015, -0.008, 0.023, 0.012, -0.005],
  [0.012, -0.006, 0.019, 0.01, -0.004],
  [0.018, -0.009, 0.021, 0.014, -0.006],
  [0.02, -0.012, 0.025, 0.016, -0.008]
]

weights · number[] · required

Portfolio weights (should sum to 1.0)

Example:

[0.3, 0.25, 0.25, 0.2]

confidence · number · default: 0.95

Confidence level for VaR/CVaR calculations

Required range: 0.5 <= x <= 0.999

Example:

0.95

risk_free_rate · number · default: 0

Risk-free rate (per period, matching returns frequency)

Example:

0.0012

Response

200

application/json

Comprehensive portfolio risk assessment completed successfully

success · boolean

Example:

true

data · object

Comprehensive risk metrics object containing multiple portfolio statistics

Example:

{
  "volatility": 0.2145,
  "var_95": 0.0345,
  "cvar_95": 0.0482,
  "sharpe_ratio": 0.8234,
  "sortino_ratio": 1.1456,
  "max_drawdown": 0.1834,
  "skewness": -0.2341,
  "kurtosis": 3.4567
}