TODO_TAGS_REVIEW

Portfolio Covariance & VaR Engine

VaR and Expected Shortfall: Historical Simulation, Parametric (variance-covariance), and Monte Carlo with Cholesky 2-factor correlation structure. P&L histogram (30 bins), 8×8 covariance heatmap. 500 assets, seeded LCG RNG. Buy-side zero-egress story.

Tool URL: https://ainumbers.co/chaingraph/qfa-02-portfolio-var-engine.html AP2/Policy Mandate export: yes

post/v1/tools/compute_portfolio_var

Request

  • Base URL: https://ainumbers.co
  • URL: https://ainumbers.co/v1/tools/compute_portfolio_var
  • Auth: none declared

Request body

avg_correlationunknown required
conf_levelunknown
confidence_levelunknown required
correlationunknown
holding_periodunknown
holding_period_daysunknown required
mc_simsnumber required
n_assetsnumber
n_pathsunknown
portfolio_value_mmunknown
seedunknown required

Response

Successful tool execution result

compliance_flagsstring[]
conf_levelnumber
es_dollar_mmnumber
hist_var_pctnumber
holding_periodinteger
mc_es_pctnumber
mc_var_pctnumber
n_pathsinteger
param_es_pctnumber
param_var_pctnumber
portfolio_vol_hpnumber
var_dollar_mmnumber
verdictstring

Changes

No recorded changes to this operation across all 1 revision of this API.