risk-metrics-calculation
A toolkit for calculating portfolio risk metrics and risk-adjusted performance.
Install
mkdir -p .claude/skills/risk-metrics-calculation && curl -L -o skill.zip "https://agentskills.codes/api/skills/download/446" && unzip -o skill.zip -d .claude/skills/risk-metrics-calculation && rm skill.zipInstalls to .claude/skills/risk-metrics-calculation
Activation
This is the description your AI agent reads to decide when to run this skill — the better it matches your request, the more reliably it fires.
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.Key capabilities
- →Compute Value at Risk and Expected Shortfall for tail risk assessment
- →Determine maximum drawdown and Calmar ratios for capital preservation analysis
- →Evaluate volatility using standard deviation and beta
- →Generate performance metrics including Sharpe and Sortino ratios
- →Support time horizons ranging from intraday to annual intervals
How it works
The skill processes portfolio return data across specified time horizons to categorize and compute metrics for volatility, tail risk, drawdown, and risk-adjusted performance.
Inputs & outputs
When to use risk-metrics-calculation
- →Calculate portfolio VaR
- →Assess risk-adjusted performance with Sharpe ratios
- →Monitor historical drawdowns
- →Set position sizes based on risk limits
About this skill
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
When not to use it
- →When assuming normal distribution of returns
- →When relying exclusively on Value at Risk without tail risk metrics
- →When using short lookback periods that miss regime changes
Limitations
- →Requires consideration of transaction costs for accurate realized risk
- →Does not account for correlation increases during market stress unless explicitly modeled
How it compares
This approach automates the calculation of multiple risk categories simultaneously rather than manually computing individual metrics in spreadsheets.
Compared to similar skills
risk-metrics-calculation side by side with the closest alternatives in the catalog.
| Skill | Installs | Updated | Safety | Difficulty |
|---|---|---|---|---|
| risk-metrics-calculation (this skill) | 8 | 2mo | No flags | Intermediate |
| quant-analyst | 103 | 2mo | No flags | Advanced |
| stock-analyzer | 71 | 2mo | Review | Beginner |
| pair-trade-screener | 11 | 1mo | Review | Advanced |
Try saying
Example prompts that trigger this skill in your AI assistant.
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