Agent skill · business finance · aiskillstore
risk-metrics-calculation
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.
Why this skill is useful
Provides specific implementations for calculating portfolio risk metrics that are not commonly found in public resources.
What it needs
About 7k tokens when loaded. Last updated 2026-08-07. 405 stars on the source repository.
What this skill does
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 Implementation Pattern 1: Core Risk Metrics Pattern 2: Portfolio Risk Pattern 3: Rolling Risk Metrics Pattern 4: Stress Testing Quick Reference 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 Resources Risk Management and Financial Institutions (John Hull) Quantitative Risk Management (McNeil, Frey, Embrechts) pyfolio Documentation
How to use it
Reference it in AdaL, Claude Code, Cursor or any coding agent — nothing to install:
@skills aiskillstore/risk-metrics-calculation--6f8190