> ## Documentation Index
> Fetch the complete documentation index at: https://docs.fincept.in/llms.txt
> Use this file to discover all available pages before exploring further.

# 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]



## OpenAPI

````yaml api-specs/portfolio.json post /quantlib/portfolio/risk/portfolio-comprehensive
openapi: 3.1.0
info:
  title: FinceptQuantLib API - Portfolio
  description: >-
    Portfolio optimization and risk management module for institutional-grade
    portfolio construction, analysis, and monitoring. Includes mean-variance
    optimization, Black-Litterman, risk parity, and comprehensive risk metrics.


    **Tier:** Pro (5 credits per request)


    **Key Features:**

    - Mean-variance optimization (minimum variance, maximum Sharpe, target
    return)

    - Efficient frontier construction with tangency portfolio identification

    - Black-Litterman model for Bayesian view incorporation

    - Risk parity strategies (ERC, HRP, inverse volatility)

    - Comprehensive risk metrics (VaR, CVaR, tracking error, information ratio)

    - Advanced portfolio analytics (risk contribution, drawdown,
    diversification)
  version: 3.0.0
  contact:
    name: Fincept API Support
    url: https://fincept.in
servers:
  - url: https://api.fincept.in
    description: Fincept API Production Server
security:
  - APIKeyHeader: []
tags:
  - name: quantlib-portfolio
    description: Portfolio optimization and risk management endpoints
    x-displayName: Portfolio
paths:
  /quantlib/portfolio/risk/portfolio-comprehensive:
    post:
      tags:
        - quantlib-portfolio
      summary: Comprehensive Portfolio Risk Assessment
      description: >-
        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]
      operationId: portfolio_risk_comprehensive
      requestBody:
        required: true
        content:
          application/json:
            schema:
              type: object
              required:
                - returns
                - weights
              properties:
                returns:
                  type: array
                  items:
                    type: array
                    items:
                      type: number
                  description: >-
                    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:
                  type: array
                  items:
                    type: number
                  description: Portfolio weights (should sum to 1.0)
                  example:
                    - 0.3
                    - 0.25
                    - 0.25
                    - 0.2
                confidence:
                  type: number
                  description: Confidence level for VaR/CVaR calculations
                  default: 0.95
                  example: 0.95
                  minimum: 0.5
                  maximum: 0.999
                risk_free_rate:
                  type: number
                  description: Risk-free rate (per period, matching returns frequency)
                  default: 0
                  example: 0.0012
      responses:
        '200':
          description: Comprehensive portfolio risk assessment completed successfully
          content:
            application/json:
              schema:
                type: object
                properties:
                  success:
                    type: boolean
                    example: true
                  data:
                    type: object
                    description: >-
                      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
        '401':
          $ref: '#/components/responses/UnauthorizedError'
        '402':
          $ref: '#/components/responses/InsufficientCreditsError'
        '422':
          $ref: '#/components/responses/ValidationError'
components:
  responses:
    UnauthorizedError:
      description: Authentication information is missing or invalid
      content:
        application/json:
          schema:
            type: object
            properties:
              detail:
                type: string
                example: Invalid API key
    InsufficientCreditsError:
      description: Insufficient API credits
      content:
        application/json:
          schema:
            type: object
            properties:
              detail:
                type: string
                example: Insufficient credits. This endpoint requires 5 credits.
    ValidationError:
      description: Request validation error
      content:
        application/json:
          schema:
            type: object
            properties:
              detail:
                type: array
                items:
                  type: object
                  properties:
                    loc:
                      type: array
                      items:
                        type: string
                    msg:
                      type: string
                    type:
                      type: string
          example:
            detail:
              - loc:
                  - body
                  - expected_returns
                msg: field required
                type: value_error.missing
  securitySchemes:
    APIKeyHeader:
      type: apiKey
      in: header
      name: X-API-Key
      description: >-
        API key for authentication. Get your key at
        https://api.fincept.in/auth/register

````