claudegoodies
Skill

risk-metrics-calculation

From 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.

Facts

Repository
wshobson/agents
Status
Actively maintained
Last commit
Source file
plugins/quantitative-trading/skills/risk-metrics-calculation/SKILL.md

Source preview

The instructions Claude Code reads when this skill runs.

# 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
View full source on GitHub →

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