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.
Security Assessment
About risk-metrics-calculation
The risk-metrics-calculation skill provides a comprehensive toolkit for measuring and analyzing the risk associated with investment portfolios. It addresses the need for accurate and effective risk assessment methodologies, allowing portfolio managers to quantify potential losses and assess overall portfolio performance. By utilizing various statistical metrics, this skill enables users to understand and mitigate risks, thereby enhancing decision-making processes related to investments.
FAQ
What types of risk metrics can this skill calculate?
This skill can calculate various risk metrics including Value at Risk (VaR), Conditional Value at Risk (CVaR), Sharpe ratio, Sortino ratio, and drawdown analysis.
Can this skill be used for different time horizons?
Yes, the skill supports multiple time horizons such as intraday, daily, weekly, monthly, and annual risk assessments.
Is there a specific format required for input data?
The skill requires periodic returns in the form of a pandas Series.
What is the minimum requirement for using this skill?
Users need to have Python with relevant libraries such as NumPy, pandas, and SciPy installed.
Are there any compatibility issues with other libraries?
The skill is designed to work seamlessly with pandas and SciPy, but users should ensure that their versions are compatible with the required functionalities.
Install risk-metrics-calculation
Quick Setup:
- Copy the skill folder to
.claude/skills/ - Claude will automatically detect and use the skill
Repository
wshobson/agents