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risk-metrics-calculation

risk-metrics-calculation

github.com/wshobsonData & databases41.9k11.1k installsUpdated 2w ago
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About risk-metrics-calculation

risk-metrics-calculation is a risk measurement skill for portfolio management. It covers metrics such as VaR, Expected Shortfall, and drawdown, with guidance on practical risk analysis.

Key features

  1. 01Volatility and tail-risk metrics
  2. 02VaR and CVaR analysis
  3. 03Maximum drawdown and risk-adjusted returns
  4. 04Risk assessment across time horizons
  5. 05Stress testing and rolling analysis

Use cases

  1. 01Measure portfolio risk
  2. 02Set risk limits and position sizes
  3. 03Build risk dashboards
  4. 04Calculate risk-adjusted returns and support regulatory reporting

Install

Copy the command and run it in a terminal.

$npx skills add https://github.com/wshobson/agents --skill risk-metrics-calculation

After installing, type/risk-metrics-calculationin Claude Code to confirm it loaded.

Bundled filesreferences/details.md

Details

From the project README

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

Comments

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