The Plutus:VaR API provides powerful tools to compute Value at Risk (VaR), Expected Shortfall (ES), and support for stress testing. Dive in to learn more!

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Plutus:VaR Engine API Overview

Welcome to the Plutus:VaR Engine API! This API allows you to easily compute your portfolio’s Value at Risk (VaR) and Expected Shortfall (ES), two critical risk metrics for financial portfolios.

You can leverage Plutus’ advanced features to calculate VaR and ES across various time horizons, data inputs, and methods like Monte Carlo simulations and Historical simulation. Whether you are managing a diverse portfolio or stress-testing your assets under various conditions, Plutus makes it easier than ever to get meaningful insights from your risk calculations.

Learn More about Plutus:VaR Engine

Visit our GitHub for more details on how to use the API

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Key Features

  • Monte Carlo Simulations: Run simulations with customizable parameters such as volatility lookback days and decay factor for the EWMA method.
  • Historical Simulation: Use historical data to simulate risk based on past market conditions.
  • Stress Testing: Add or remove specific historical data points to assess the impact of extreme events or changes in the market.
  • Flexible Configuration: Adjust settings such as confidence levels, start and end dates, and method selection to suit your analysis needs.

Ready to get started? Follow the detailed guides in the API Documentation to begin integrating the Plutus Engine into your financial applications.