Risk Metrics Calculation
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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.
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| 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. |
| 1 | --- |
| 2 | name: risk-metrics-calculation |
| 3 | 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. |
| 4 | ---A5 — No allowed-tools declared — no way to tell what this skill may touch |
| 5 | |
| 6 | # Risk Metrics Calculation |
| 7 | |
| 8 | Comprehensive risk measurement toolkit for portfolio management, including Value at Risk, Expected Shortfall, and drawdown analysis. |
| 9 | |
| 10 | ## When to Use This Skill |
| 11 | |
| 12 | - Measuring portfolio risk |
| 13 | - Implementing risk limits |
| 14 | - Building risk dashboards |
| 15 | - Calculating risk-adjusted returns |
| 16 | - Setting position sizes |
| 17 | - Regulatory reporting |
| 18 | |
| 19 | ## Core Concepts |
| 20 | |
| 21 | ### 1. Risk Metric Categories |
| 22 | |
| 23 | | Category | Metrics | Use Case | |
| 24 | | ----------------- | --------------- | -------------------- | |
| 25 | | **Volatility** | Std Dev, Beta | General risk | |
| 26 | | **Tail Risk** | VaR, CVaR | Extreme losses | |
| 27 | | **Drawdown** | Max DD, Calmar | Capital preservation | |
| 28 | | **Risk-Adjusted** | Sharpe, Sortino | Performance | |
| 29 | |
| 30 | ### 2. Time Horizons |
| 31 | |
| 32 | ``` |
| 33 | Intraday: Minute/hourly VaR for day traders |
| 34 | Daily: Standard risk reporting |
| 35 | Weekly: Rebalancing decisions |
| 36 | Monthly: Performance attribution |
| 37 | Annual: Strategic allocation |
| 38 | ``` |
| 39 | |
| 40 | ## Detailed patterns and worked examples |
| 41 | |
| 42 | Detailed pattern documentation lives in `references/details.md`. Read that file when the navigation tier above is insufficient. |
| 43 | |
| 44 | ## Best Practices |
| 45 | |
| 46 | ### Do's |
| 47 | |
| 48 | - **Use multiple metrics** - No single metric captures all risk |
| 49 | - **Consider tail risk** - VaR isn't enough, use CVaR |
| 50 | - **Rolling analysis** - Risk changes over time |
| 51 | - **Stress test** - Historical and hypothetical |
| 52 | - **Document assumptions** - Distribution, lookback, etc. |
| 53 | |
| 54 | ### Don'ts |
| 55 | |
| 56 | - **Don't rely on VaR alone** - Underestimates tail risk |
| 57 | - **Don't assume normality** - Returns are fat-tailed |
| 58 | - **Don't ignore correlation** - Increases in stress |
| 59 | - **Don't use short lookbacks** - Miss regime changes |
| 60 | - **Don't forget transaction costs** - Affects realized risk |
| 61 |
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