risk-metrics-calculation
wshobson/agents
Calculate portfolio risk metrics: VaR, CVaR, Sharpe, Sortino, and drawdown analysis.
What is risk-metrics-calculation?
Comprehensive risk measurement toolkit for portfolio management. Use this skill when measuring portfolio risk, implementing risk limits, building risk dashboards, or calculating risk-adjusted returns for regulatory reporting and position sizing.
- Calculate Value at Risk (VaR) and Expected Shortfall (CVaR) for tail risk measurement
- Compute risk-adjusted return metrics: Sharpe ratio and Sortino ratio
- Analyze maximum drawdown and Calmar ratio for capital preservation
- Calculate volatility and beta for general risk assessment
- Support multiple time horizons: intraday, daily, weekly, monthly, and annual analysis
- Enable rolling analysis and stress testing capabilities
How to install risk-metrics-calculation
npx skills add https://github.com/wshobson/agents --skill risk-metrics-calculationHow to use risk-metrics-calculation
- 1.Install the skill using: npx skills add https://github.com/wshobson/agents --skill risk-metrics-calculation
- 2.Prepare historical price or return data for your portfolio
- 3.Select appropriate time horizon (intraday, daily, weekly, monthly, or annual)
- 4.Choose risk metrics relevant to your use case (volatility, VaR, CVaR, Sharpe, Sortino, drawdown)
- 5.Configure assumptions: distribution type, lookback period, confidence levels
- 6.Run rolling analysis to track how risk changes over time
- 7.Validate results with stress tests and compare against multiple metrics
Use cases
- Measuring portfolio risk and setting position sizes based on risk limits
- Building risk dashboards and monitoring systems for ongoing portfolio oversight
- Calculating risk-adjusted returns for performance attribution and strategy evaluation
- Implementing regulatory reporting requirements with documented risk assumptions
- Setting risk limits and alerts for extreme loss scenarios using CVaR
- Portfolio managers and risk officers
- Quantitative analysts and traders
- Financial advisors managing client portfolios
- Risk compliance and regulatory teams
- Algorithmic trading systems requiring real-time risk monitoring
risk-metrics-calculation FAQ
VaR only tells you the threshold of losses at a given confidence level but underestimates tail risk. CVaR (Expected Shortfall) measures the average loss beyond the VaR threshold, capturing the severity of extreme events.
Longer lookbacks (1-3 years) capture regime changes but may include outdated market conditions. Shorter lookbacks (3-6 months) are more responsive but may miss rare events. Use rolling analysis to balance both.
No. Financial returns exhibit fat tails and skewness, meaning extreme events occur more frequently than normal distribution predicts. Use historical or empirical distributions instead.
Correlations increase during market stress, reducing diversification benefits. Use stress testing with hypothetical scenarios and historical crisis periods to capture correlation breakdowns.
Sharpe ratio penalizes all volatility equally. Sortino ratio only penalizes downside volatility, making it more relevant for risk-averse investors who care primarily about losses.
Full instructions (SKILL.md)
Source of truth, from wshobson/agents.
name: risk-metrics-calculation description: 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.
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 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
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