Portfolio Analysis / Risk Measures / Value At Risk Estimation
Multivariate Empirical Value At Risk
Changed onCompute the multivariate empirical value at risk of a portfolio.
References
- Wikipedia, Value at risk
- Acerbi, C. and Tasche, D. (2002), Expected Shortfall: A Natural Coherent Alternative to Value at Risk. Economic Notes, 31: 379-388
- Hutson, A.D. A Semi-Parametric Quantile Function Estimator for Use in Bootstrap Estimation Procedures. Statistics and Computing 12, 331–338 (2002)
- Mausser, H. (2003). Calculating quantile-based risk analytics with L-estimators. Journal of Risk Finance 4 (3), 61–74
- Ballotta, Laura and Fusai, Gianluca, A Gentle Introduction to Value at Risk
post/portfolios/analysis/value-at-risk/estimation/empirical/multivariate
Request
- Base URLhttps://api.portfoliooptimizer.io/v1
- URLhttps://api.portfoliooptimizer.io/v1/portfolios/analysis/value-at-risk/estimation/empirical/multivariate
- AuthAPI key in header X-API-Key
Request body
Response
OK
Changes
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endpoint added
- info