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risk-metrics-calculation

by wshobson

Calculate portfolio risk metrics including VaR, CVaR, Sharpe, Sortino, and drawdown analysis. Use when measuring portfolio risk, implementing risk limits, or building risk monitoring systems.

Overview

SKILL.mdRead at 46891e7

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
CategoryMetricsUse Case
VolatilityStd Dev, BetaGeneral risk
Tail RiskVaR, CVaRExtreme losses
DrawdownMax DD, CalmarCapital preservation
Risk-AdjustedSharpe, SortinoPerformance
2. Time Horizons
Intraday:   Minute/hourly VaR for day traders
Daily:      Standard risk reporting
Weekly:     Rebalancing decisions
Monthly:    Performance attribution
Annual:     Strategic allocation

Detailed patterns and worked examples

Detailed pattern documentation lives in references/details.md. Read that file when the navigation tier above is insufficient.

Best Practices

Do's
  • Use multiple metrics - No single metric captures all risk
  • Consider tail risk - VaR isn't enough, use CVaR
  • Rolling analysis - Risk changes over time
  • Stress test - Historical and hypothetical
  • Document assumptions - Distribution, lookback, etc.
Don'ts
  • Don't rely on VaR alone - Underestimates tail risk
  • Don't assume normality - Returns are fat-tailed
  • Don't ignore correlation - Increases in stress
  • Don't use short lookbacks - Miss regime changes
  • Don't forget transaction costs - Affects realized risk

Files 2 files

Install it by hand

Deska runs this for you, for every agent you pick. To run it yourself in a terminal:

npx skills add wshobson/agents --skill risk-metrics-calculation

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