# Expected shortfall calculation

## What is this endpoint for?

This endpoint helps you calculate the expected shortfall (ES) and stressed ES. It is computed by a proprietary and thoroughly backtested methodology that accounts for the idiosyncrasies of crypto market structure. By convention, it's a forecasting ES, i.e.,the prediction of the potential loss for the next day. We introduced a mixture parameter that can provide either the ES, the stressed ES or a combination of the two (see the `stress_parameter` below).

### Endpoint

{% code overflow="wrap" %}

```http
https://us.market-api.kaiko.io/v2/data/analytics.v2/expected_shortfall
```

{% endcode %}

### Parameters

<table><thead><tr><th>Parameter</th><th width="106.87890625">Required</th><th width="353.21484375">Description</th></tr></thead><tbody><tr><td><code>bases</code></td><td>Yes</td><td><p>List of portfolio base components. <br><br>See <a data-mention href="/pages/5iH1qlIc7aNEOOci4yMw">/pages/5iH1qlIc7aNEOOci4yMw</a></p><p></p><p>Total must match <code>quantities</code> below.<br><br>The order of <code>bases</code> and their respective <code>quantities</code> must match in the request. </p></td></tr><tr><td><code>quote</code></td><td>Yes</td><td>The fiat currency.<br><br><a data-mention href="/pages/5iH1qlIc7aNEOOci4yMw">/pages/5iH1qlIc7aNEOOci4yMw</a></td></tr><tr><td><code>quantities</code></td><td>Yes</td><td>Quantities list of base asset in the portfolio.<br><br>Must match the number of <code>bases</code>.<br><br>The order of <code>quantities</code> and their respective <code>bases</code> must match in the request. </td></tr><tr><td><code>risk_level</code></td><td>Yes</td><td><p>The risk level for the expected shortfall. <br><br>Min: <code>0.90</code> (included) </p><p><br>Max: <code>1</code> (excluded)</p></td></tr><tr><td><code>start_time</code></td><td>Yes</td><td>First fixing of the calculation in ISO 8601 (inclusive).</td></tr><tr><td><code>end_time</code></td><td>Yes</td><td>Last fixing of the calculation in ISO 8601 (inclusive).</td></tr><tr><td><code>stress_parameter</code></td><td>No</td><td><p>Float between <code>0</code> and <code>1</code> that controls the blend between ES and Stressed ES.</p><p><br>It is <code>0</code> for ES and <code>1</code> for stressed ES.</p><p><br>It equals <code>0</code> by default.</p></td></tr><tr><td><code>reporting_currency</code></td><td>No</td><td><p>This allows you to express the final risk metrics in a specific fiat currency.</p><p><br>By default, expressed in USD.</p></td></tr><tr><td><code>sources</code></td><td>No</td><td><code>boolean</code>. If true, returns all pair prices which were used to compute the expected shortfall. <br><br>Default: <code>false</code></td></tr></tbody></table>

### Fields

| Parameter            | Description                                                                                                     |
| -------------------- | --------------------------------------------------------------------------------------------------------------- |
| `es_time`            | The time at which the ES is computed.                                                                           |
| `expected_shortfall` | Composed of two fields: value and `risk_level` (the expected shortfall estimator at the specified `risk_level`) |
| `pair`               | The constituent pair. (showing only when `sources` is set to be true)                                           |
| `ref_price`          | The reference price per asset. (showing only when `sources` is set to be true)                                  |
| `date`               | The date of the reference price. (showing only when `sources` is set to be true)                                |

### Request examples

{% tabs %}
{% tab title="cURL" %}
{% code overflow="wrap" %}

```url
curl --compressed -H 'Accept: application/json' -H 'X-Api-Key: <client-api-key>' \
'https://us.market-api.kaiko.io/v2/data/analytics.v2/expected_shortfall?bases=eth,btc,ltc&quantities=3,2,5&quote=usd&risk_level=0.95&start_time=2025-12-01T00:00:00.000Z&end_time=2025-12-05T00:00:00.000Z&stress_parameter=0.5&reporting_currency=eur'
```

{% endcode %}
{% endtab %}

{% tab title="Python" %}
{% code overflow="wrap" %}

```python
##### 1. Import dependencies #####
import requests
import pandas as pd

##### 2. Choose the value of the query's parameters #####
# ---- Required parameters ---- #
bases = "btc,eth"
quote = "usd"
quantities = "1,10"
risk_level = "0.95"
start_time = "2021-12-01T00:00:00.000Z"
end_time = "2022-01-31T00:00:00.000Z"

# ---- Optional parameters ---- #
sources = None

# ---- API key configuration ---- #
api_key = "YOUR_API_KEY"

##### 3. Get the data #####
# ---- Function to run an API call ---- # 
# Get the data in a dataframe --------- # 

def get_kaiko_data(api_key: str, bases: str, quote: str, quantities: str, risk_level: str, start_time: str, end_time: str, sources: bool = None):
    headers = {'Accept': 'application/json', 'X-Api-Key': api_key}
    
    url = f'https://us.market-api.kaiko.io/v2/data/analytics.v2/expected_shortfall'
    params = {
        "bases": bases,
        "quote": quote,
        "quantities": quantities,
        "risk_level": risk_level,
        "start_time": start_time,
        "end_time": end_time,
        "sources": sources
    }

    try:
        res = requests.get(url, headers=headers, params=params)
        res.raise_for_status() 
        data = res.json()
        if 'data' not in data:
            print("No data returned.")
            return pd.DataFrame() 
        df = pd.DataFrame(data['data'])

        # Handle pagination with continuation token
        while 'next_url' in data:
            next_url = data['next_url']
            if next_url is None:
                break
            res = requests.get(next_url, headers=headers)
            res.raise_for_status()
            data = res.json()
            if 'data' in data:
                df = pd.concat([df, pd.DataFrame(data['data'])], ignore_index=True)
        return df

    except requests.exceptions.RequestException as e:
        print(f"API request error: {e}")
        return pd.DataFrame() 

# ---- Get the data ---- #
df = get_kaiko_data(api_key=api_key, bases=bases, quote=quote, quantities=quantities, risk_level=risk_level, start_time=start_time, end_time=end_time, sources=sources)
print (df)
```

{% endcode %}
{% endtab %}
{% endtabs %}

### Response example

{% code overflow="wrap" %}

```json
{
    "query": {
        "bases": "eth,btc,ltc",
        "quote": "usd",
        "quantities": [
            3,
            2,
            5
        ],
        "exchanges": "",
        "risk_level": 0.95,
        "sources": false,
        "data_version": "v2",
        "commodity": "analytics",
        "request_time": "2026-04-01T14:29:00.536Z",
        "reporting_currency": "eur"
    },
    "time": "2026-04-01T14:29:00.825Z",
    "timestamp": 1775053740825,
    "data": [
        {
            "es_time": 1764547200000,
            "expected_shortfall": {
                "value": 13337.396618466695,
                "risk_level": 0.95
            }
        },
        {
            "es_time": 1764633600000,
            "expected_shortfall": {
                "value": 13193.145029429792,
                "risk_level": 0.95
            }
        },
        {
            "es_time": 1764720000000,
            "expected_shortfall": {
                "value": 13476.064947481469,
                "risk_level": 0.95
            }
        },
        {
            "es_time": 1764806400000,
            "expected_shortfall": {
                "value": 13587.247396977718,
                "risk_level": 0.95
            }
        },
        {
            "es_time": 1764892800000,
            "expected_shortfall": {
                "value": 13553.701550483325,
                "risk_level": 0.95
            }
        }
    ],
    "access": {
        "access_range": {
            "start_timestamp": 1763683200,
            "end_timestamp": null
        },
        "data_range": {
            "start_timestamp": null,
            "end_timestamp": null
        }
    }
}
```

{% endcode %}


---

# Agent Instructions: Querying This Documentation

If you need additional information that is not directly available in this page, you can query the documentation dynamically by asking a question.

Perform an HTTP GET request on the current page URL with the `ask` query parameter:

```
GET https://docs.kaiko.com/rest-api/analytics-solutions/kaiko-portfolio-and-risk-management/expected-shortfall-calculation.md?ask=<question>
```

The question should be specific, self-contained, and written in natural language.
The response will contain a direct answer to the question and relevant excerpts and sources from the documentation.

Use this mechanism when the answer is not explicitly present in the current page, you need clarification or additional context, or you want to retrieve related documentation sections.