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QuantOracle Parametric Value-at-Risk (VaR) Calculator
x402
QuantOracle Parametric Value-at-Risk (VaR) Calculator is a paid API for AI agents from api.quantoracle.dev, paid per call via x402, $0.008/call, status unknown (last checked 2026-09-14).
Computes parametric VaR and CVaR for a portfolio at specified confidence levels given a series of historical returns
Price / call$0.008
Success—
StatusUnknown
How this service works
QuantOracle: risk/var-parametric
Output
Returns VaR and CVaR values as both percentages and dollar amounts at each requested confidence level, plus portfolio statistics including daily and annualized volatility, skewness, and kurtosis of the return distribution.
Example use cases
Example prompt
“Calculate the parametric VaR and CVaR for my $1,000,000 portfolio using these daily returns: [-0.012, 0.008, -0.003, 0.015, -0.021, 0.005, -0.008, 0.012, -0.006, 0.01], at both 95% and 99% confidence levels over a 1-day holding period.”
Technical details
Endpoint
POSThttps://api.quantoracle.dev/v1/risk/var-parametricWhen to prefer
Use this endpoint when you need fast, parametric (normal-distribution-based) VaR and CVaR calculations for a portfolio, especially when you already have a time series of returns and want dollar-denominated risk figures. Prefer this over historical simulation VaR when computational speed is a priority and when the return distribution is reasonably normal. Ideal for daily risk monitoring, regulatory reporting estimates, or portfolio stress-testing workflows.
Side effects
- Too few data points in returns array to compute reliable statistics
- Invalid confidence levels (outside 0-1 range or improperly formatted)
- Non-numeric values in the returns array
- Missing required fields (returns, portfolio_value, or confidence_levels)
- Network timeout for unusually large return series
Input
{
"returns": [
0.01,
-0.02,
0.015,
-0.005,
0.03,
-0.01,
0.02,
-0.015,
0.005,
-0.025,
0.008,
-0.012,
0.018,
-0.007,
0.022,
0.011,
-0.018,
0.025,
-0.008,
0.013,
-0.011,
0.019,
-0.006,
0.016,
-0.014,
0.009,
-0.003,
0.021,
-0.009,
0.012
]
}Schema · Request body
| Field | Type | Description |
|---|---|---|
| returns | array | Array of historical returns (max 5000) |
| portfolio_value | — | Optional portfolio value for dollar VaR |
| confidence_levels | array | Confidence levels for VaR calculation (max 5 levels) |
| holding_period_days | integer | VaR holding period in days (1-252) |
Output
{
"n": 30,
"ms": 8.22,
"_meta": {
"url": "https://quantoracle.dev",
"docs": "https://api.quantoracle.dev/docs",
"calculator": "https://quantoracle.dev/value-at-risk-calculator",
"powered_by": "QuantOracle"
},
"kurtosis": -1.2588,
"skewness": -0.065,
"live_data": {
"note": "Parametric VaR scales directly with volatility. For crypto, validate against fresh realized vol from /v1/live/volatility ($0.01).",
"watch": "Monitoring a live crypto position? QuantOracle Watch tracks liq distance + funding flips 24/7 and webhooks you: POST /v1/watch/trial (free 48h), then $5/30d.",
"volatility": "/v1/live/volatility"
},
"var_results": {
"95": {
"var": 0.022239,
"cvar": 0.028634,
"var_pct": 2.2239,
"cvar_pct": 2.8634
},
"99": {
"var": 0.032709,
"cvar": 0.037866,
"var_pct": 3.2709,
"cvar_pct": 3.7866
}
},
"volatility_daily": 0.015361,
"volatility_annual": 0.2439,
"holding_period_days": 1
}Tags
x402
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