◈ Labs
Value at Risk
v1.0How much can this position lose over the next hour, day or week?Review: researchSign in to run Labs models
The free Explore plan includes 50 runs a month.
Sign in →How it works and its limits
- Inputs
- Instrument, side, notional, horizons, confidence levels and an optional loss budget.
- Outputs
- VaR and expected shortfall at the close and at the worst point inside the horizon, the probability of breaching the budget, and a PnL histogram.
- Evidence
- Same engine as Monte Carlo 1.0, 30 perpetuals out of sample: at 1h the 5% loss tail was breached 5.8% of the time (Kupiec p = 0.08) and the 1% tail 0.8%; at 4h and 24h breaches rose to 7.8–8.1% in a falling market.
- Limits
- One instrument at a time; correlation between positions is not modelled yet. Fees and funding are not included.
- Minimum data
- Two days of 5m bars.
- API
- POST /labs/risk/var {symbol, side, notional, horizons, confidence, loss_budget}