run_risk_job

Overview

run_risk_job runs one risk / analytics function and returns an HTML, PNG, or CSV artifact. Inputs:

portfolio_optimization_*.json (Prices + Weights) — usual path
data_extractor_*.json — fast path; optional portfolio_weights, otherwise equal 1/N

Ask for what you need (“QuantStats report”, “weight dynamics”, “copula density AAPL vs MSFT”) — skills pick function and params.

Function catalog

`function`	What you get
`quantstats`	QuantStats tearsheet-style performance report (returns, drawdowns, ratios) vs an optional benchmark (`benchmark_ticker`, `rf`)
`full_risk_report`	Full Riskfolio-style risk report (e.g. CVaR and related risk metrics; `risk_metric`, `alpha`, `rf`, `t_factor`)
`dynamic_weights`	Interactive / HTML visualization of portfolio weight paths over time (best default for “show me weights”)
`factor_impact`	Factor impact analysis (loadings / significance) for a list of factor tickers (`factors`, e.g. MTUM, VLUE, QUAL, SIZE)
`bootstrap_ci`	Bootstrap confidence intervals for portfolio metrics (`n_boot`, `block_size`, `bootstrap_method`, `confidence_level`)
`bootstrap_vis`	Bootstrap path / distribution visualization (`bootstrap_method`, optional `asset_ticker`, `initial_capital`)
`cluster_dendrogram`	Hierarchical clustering dendrogram of assets (`codependence`, optional `k_clusters`) — needs ≥2 assets
`cluster_visualization`	Network-style cluster graph (`layout`, `codependence`, `linkage`)
`risk_impact`	Per-asset risk contribution / impact chart (`risk_metric`, `alpha`)
`copula_density`	Pairwise copula density plot for two assets (`copula`, `asset1`, `asset2`)

Most functions accept optional start / end (YYYY-MM-DD) to crop the window; omit for the full sample.

Parameters

string

required

Blob URL to portfolio_optimization_*.json or data_extractor_*.json.

object

required

Show config fields

string

required

One of the catalog values above.

object

Optional weights for the data-extraction fast path, e.g. { "AAPL": 0.5, "MSFT": 0.5 }.

object

Nested object matching function, with that function’s parameters (see catalog).

Example — weight dynamics

{
  "input_url": "https://stqsnpprod.blob.core.windows.net/data/portfolio_optimization_35c1b5239d23.json",
  "config": {
    "function": "dynamic_weights",
    "dynamic_weights": {
      "start": null,
      "end": null
    }
  }
}

Example — copula density

{
  "input_url": "https://stqsnpprod.blob.core.windows.net/data/portfolio_optimization_35c1b5239d23.json",
  "config": {
    "function": "copula_density",
    "copula_density": {
      "copula": "gaussian",
      "asset1": "AAPL",
      "asset2": "MSFT"
    }
  }
}

Returns

{
  "status": "Succeeded",
  "output_url": "https://stqsnpprod.blob.core.windows.net/data/risk_dynamic_weights_f1e2d3c4b5a6.html",
  "output_name": "risk_dynamic_weights_f1e2d3c4b5a6.html",
  "execution_name": "job-risk-worker-abc123xyz"
}

Next Step

Most functions produce a finished report. The exception is dynamic_weights: its HTML is one of the two accepted inputs for run_ptl_job, where it goes in as weights_url and drives the permutation test.

Overview

How To

Tools description

Overview

Function catalog

Parameters

Example — weight dynamics

Example — copula density

Returns

Next Step

​Overview

​Function catalog

​Parameters

​Example — weight dynamics

​Example — copula density

​Returns

​Next Step

Overview

Function catalog

Parameters

Example — weight dynamics

Example — copula density

Returns

Next Step