VAR Estimator
What is this endpoint for?
The Daily Value at Risk (VaR) estimator endpoints helps you calculate values for single and multi-asset portfolios. Computed by a proprietary and thoroughly backtested methodology that accounts for the idiosyncrasies of crypto market structure.
Endpoint
Parameters
Parameter | Required | Description |
---|---|---|
| Yes | Total must match |
| Yes | The fiat currency. |
| Yes | Quantities list of base asset in the portfolio.
Must match the number of |
| Yes | The Value at Risk confidence level.
Min: |
| Yes | First fixing of the calculation in ISO 8601 (inclusive). |
| Yes | Last fixing of the calculation in ISO 8601 (inclusive). |
| Yes | |
| No | boolean. If true, returns all pair prices which were used to compute the Value at Risk.
Default: |
Fields
Parameter | Description |
---|---|
| The time at which the VaR is computed. |
| Composed of two fields: value and risk_level (the Value at Risk estimator at the specified risk_level.) |
| List of additional VaRs for standard risk levels. |
| The constituent pair. (showing only when |
| The reference price per asset. (showing only when |
| The date of the reference price. (showing only when |
Request examples
Response example
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