analyze_var
Calculate VaR and CVaR for crypto and multi-asset portfolios. Uses live CoinGecko volatility for known tokens, returns daily/annual risk metrics, worst-case loss on $1M, and interpretation.
Instructions
Value-at-Risk (VaR) and CVaR (Expected Shortfall) at 95% and 99% confidence. Uses real volatility auto-fetched from CoinGecko for known crypto tickers. Returns daily and annualised VaR/CVaR, worst-case dollar loss on $1M AUM, and interpretation. Payment: $0.02 USDC on Tempo chain.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| profile | No | Risk profile — affects rebalance targets and scoring. Default: balanced. | |
| holdings | Yes | ||
| riskFreeRate | No | Annual risk-free rate for Sortino and VaR excess return, e.g. 0.05 = 5%. Default: 0.05. | |
| benchmarkReturn | No | Annual benchmark return for Sharpe calculation, e.g. 0.08 = 8%. Default: 0.08. | |
| rebalanceMethod | No | Portfolio construction method for rebalance recommendations. Default: profile. | |
| marketIndicators | No | Optional macro indicators — improves market regime detection confidence to HIGH when 3+ provided. |