Risk Metrics

Industry peer β cross-section

Cross-section from ds_erm3_industry zarr: log-mcap-weighted typical factor β, cross-sectional β dispersion, peer counts, and cohort weight mass by EODHD industry code and cascade level (market, sector, subsector). Default by=level is one row per (industry, level). by=fact is one row per (industry, fact). Multi-fact cells are historical (last L3 day 2021-06-22); the latest teo is n_facts=1. by=fact returns 409 only on a leftover level-keyed vintage. Default observation date is the latest teo in the store; pass teo=YYYY-MM-DD for a historical slice.

get/industry-panel

Request

  • Base URL: https://riskmodels.app/api
  • URL: https://riskmodels.app/api/industry-panel
  • Auth: HTTP bearer

Query parameters

market_factor_etfstring
teostring date

Observation date (default latest teo in zarr).

datestring date

Alias for teo.

level'market' | 'sector' | 'subsector'

Optional filter to one cascade level.

min_peersinteger

Minimum n_companies (default from zarr min_peers attr, usually 5). Applied per fact before any by=level collapse.

by'level' | 'fact'

Grouping. level (default) keeps one row per (industry_code, level). fact emits one row per (industry, fact) with a fact ticker field; 409 on a level-keyed vintage.

Response

Industry panel cross-section

teostring date
level'market' | 'sector' | 'subsector'

Present when the request filtered to a single cascade level.

by'level' | 'fact'

Requested grouping. Default level.

panel_key'level' | 'fact'

Store vintage — level is the pre-rekey collapse; fact is the per-fact axis.

min_peersinteger

Minimum n_companies filter applied (from request or zarr min_peers attr).

market_factor_etfstring
universestring
data_sourcestring

Example response

{
  "data_source": "zarr"
}

Changes

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