risk-metrics-calculation
Measure portfolio risk across volatility, tail risk, drawdown, and risk-adjusted performance dimensions. Includes Value at Risk, Expected Shortfall, and drawdown analysis with support for multiple time horizons and stress testing scenarios.
Risk Metrics Calculation computes portfolio risk measures like VaR, CVaR, Sharpe, Sortino, and drawdown analysis.
AI-generated summary based on this skill's SKILL.md
Install
wshobson/agents/risk-metrics-calculation · repository language: Python
git clone https://github.com/wshobson/agents
cp -r agents/plugins/quantitative-trading/skills/risk-metrics-calculation ~/.claude/skills/risk-metrics-calculationFrequently asked questions
AI-generated answers based on this skill's SKILL.md and metadata
How does risk-metrics-calculation measure portfolio risk metrics?
risk-metrics-calculation measures portfolio risk across multiple dimensions including volatility, tail risk, drawdown, and risk-adjusted performance. It calculates Value at Risk (VaR), Expected Shortfall (CVaR), and drawdown analysis with support for multiple time horizons and stress testing scenarios to give you comprehensive risk visibility.
Can risk-metrics-calculation calculate portfolio VaR and CVaR?
Yes. risk-metrics-calculation calculates both Value at Risk and Expected Shortfall (CVaR) to measure portfolio tail risk. VaR shows the maximum potential loss at a given confidence level, while CVaR captures the expected loss beyond that threshold, helping you understand extreme downside scenarios.
What risk-adjusted returns metrics does this skill support?
risk-metrics-calculation measures risk-adjusted returns using Sharpe and Sortino ratios. The Sharpe ratio evaluates excess return per unit of total volatility, while the Sortino ratio focuses on downside volatility only, making it useful for assessing performance when you care more about losses than gains.
How can I implement position sizing based on risk limits?
risk-metrics-calculation supports risk limits and position sizing for portfolio management. You can define maximum acceptable risk thresholds and the skill helps size positions accordingly, ensuring your portfolio stays within your risk tolerance and regulatory constraints.
Does risk-metrics-calculation support maximum drawdown analysis?
Yes. risk-metrics-calculation performs maximum drawdown analysis to measure peak-to-trough declines in portfolio value. This helps with capital preservation planning and understanding the worst historical loss scenario your portfolio has experienced.
Can risk-metrics-calculation build risk dashboards and compliance reports?
risk-metrics-calculation supports building risk dashboards and regulatory compliance reporting systems. You can monitor rolling risk metrics over time and generate reports that meet regulatory requirements, enabling both real-time risk monitoring and formal compliance documentation.
SKILL.md
rendered from the published skill — quoted content, verbatim
Risk Metrics Calculation
Comprehensive risk measurement toolkit for portfolio management, including Value at Risk, Expected Shortfall, and drawdown analysis.
When to Use This Skill
- Measuring portfolio risk
- Implementing risk limits
- Building risk dashboards
- Calculating risk-adjusted returns
- Setting position sizes
- Regulatory reporting
Core Concepts
1. Risk Metric Categories
| Category | Metrics | Use Case |
|---|---|---|
| Volatility | Std Dev, Beta | General risk |
| Tail Risk | VaR, CVaR | Extreme losses |
| Drawdown | Max DD, Calmar | Capital preservation |
| Risk-Adjusted | Sharpe, Sortino | Performance |
2. Time Horizons
``` Intraday: Minute/hourly VaR for day traders Daily: Standard risk reporting Weekly: Rebalancing decisions Monthly: Performance
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plugins/quantitative-trading/skills/risk-metrics-calculation/SKILL.md
plugins/quantitative-trading/skills/risk-metrics-calculation/references/details.md