API Documentation

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GET/api/1/portfolio-risk/var/{portfolioId}

Value at Risk

Computes VaR using historical, parametric, and Monte Carlo methods plus Expected Shortfall

Parameters

4
confidencenumber
query

Confidence level (default 0.95)

horizonnumber
query

Horizon in days: 1, 5, or 10

methodstring
query

Method: historical, parametric, montecarlo

portfolioIdstringrequired
path

Portfolio UUID

Responses

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Request
curl -X GET \
  'https://api.eulerpool.com/api/1/portfolio-risk/var/{portfolioId}?confidence=0.95&horizon=1&method=historical' \
  -H 'Accept: application/json'
200 Response
{
  "confidence": 0,
  "horizon": 0,
  "historical": 0,
  "parametric": 0,
  "monteCarlo": 0,
  "expectedShortfall": 0
}