Properties
| Name | Type | Description |
|---|---|---|
| portfolioId | string | |
| asOfDate | string | |
| valueAtRisk95 | number | 95% confidence level 1-day Value at Risk (decimal) |
| valueAtRisk99 | number | 99% confidence level 1-day Value at Risk (decimal) |
| trackingError | number | Annualized tracking error vs benchmark (decimal) |
| beta | number | Portfolio beta relative to benchmark |
| modifiedDuration | number | Portfolio modified duration (for fixed income) |
| exposures | object | Factor exposure breakdown |
JSON Schema
{
"$schema": "https://json-schema.org/draft/2020-12/schema",
"$id": "#/components/schemas/RiskResponse",
"title": "RiskResponse",
"type": "object",
"description": "Portfolio risk analytics",
"properties": {
"portfolioId": {
"type": "string",
"example": "PORT-12345"
},
"asOfDate": {
"type": "string",
"format": "date"
},
"valueAtRisk95": {
"type": "number",
"format": "double",
"description": "95% confidence level 1-day Value at Risk (decimal)",
"example": 0.0142
},
"valueAtRisk99": {
"type": "number",
"format": "double",
"description": "99% confidence level 1-day Value at Risk (decimal)",
"example": 0.0218
},
"trackingError": {
"type": "number",
"format": "double",
"description": "Annualized tracking error vs benchmark (decimal)",
"example": 0.0315
},
"beta": {
"type": "number",
"format": "double",
"description": "Portfolio beta relative to benchmark",
"example": 1.02
},
"modifiedDuration": {
"type": "number",
"format": "double",
"description": "Portfolio modified duration (for fixed income)",
"example": 5.43
},
"exposures": {
"type": "object",
"description": "Factor exposure breakdown",
"properties": {
"marketExposure": {
"type": "number",
"format": "double"
},
"creditExposure": {
"type": "number",
"format": "double"
},
"currencyExposure": {
"type": "number",
"format": "double"
}
}
}
}
}