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POST
/
quantlib
/
risk
/
tail-risk
/
comprehensive
Comprehensive Tail Risk Analysis
curl --request POST \
  --url https://api.fincept.in/quantlib/risk/tail-risk/comprehensive \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "returns": [
    0.008,
    -0.025,
    0.015,
    -0.042,
    0.011,
    -0.018,
    0.022
  ],
  "confidence": 0.95,
  "portfolio_value": 10000000
}
'
{
  "success": true,
  "data": {
    "cvar": 385000,
    "var": 325000,
    "max_drawdown": 0.185,
    "omega_ratio": 1.45,
    "sortino_ratio": 1.82,
    "tail_ratio": 0.78
  }
}

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 return series

Minimum array length: 100
Example:
[0.01, -0.03, 0.02, -0.05]
​
confidence
number
default:0.99

Confidence level for risk metrics

Example:

0.99

​
portfolio_value
number
default:1000000

Portfolio value for absolute risk amounts

Example:

1000000

Response

Comprehensive tail risk metrics

​
success
boolean
Example:

true

​
data
object