POportfoliooptimizer
Portfolio Analysis / Contributions

Multivariate Empirical Value at Risk Contributions

Changed on

Perform a value-at-risk contribution analysis of a portfolio, using the empirical multivariate distribution of the portfolio asset returns.

References

post/portfolios/analysis/contributions/value-at-risk/empirical/multivariate

Request

  • Base URL
    https://api.portfoliooptimizer.io/v1
  • URL
    https://api.portfoliooptimizer.io/v1/portfolios/analysis/contributions/value-at-risk/empirical/multivariate
  • Auth
    API key in header X-API-Key

Request body

confidenceLevelnumber

The confidence level

empiricalQuantileEstimationMethod'linearInterpolationQuantileEstimation' | 'harrellDavisQuantileEstimation'

The empirical quantile estimation method to use

Response

OK

Changes