Calculate portfolio risk metrics including VaR, CVaR, Sharpe

Risk metrics calculation

by wshobson · MIT license · ★ 39,857 on GitHub · updated Sep 21

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.

---
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.
---

# 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

Overview

Comprehensive risk measurement toolkit for portfolio management, including Value at Risk, Expected Shortfall, and drawdown analysis.

Manual install (npx, ZIP)

Claude Codenpx skills add wshobson/agents --skill risk-metrics-calculation -g -a claude-code

Claude Code (manual)

mkdir -p ~/.claude/skills && curl -sL https://codeload.github.com/wshobson/agents/tar.gz/4236bb91f839 \
  | tar -xz -C ~/.claude/skills --strip-components=4 agents-4236bb91f839/plugins/quantitative-trading/skills/risk-metrics-calculation

Windows (PowerShell)

New-Item -ItemType Directory -Force "$HOME\.claude\skills" | Out-Null; Invoke-WebRequest "https://m.agentalley.io/zip/4dc492a428875f134483/risk-metrics-calculation.zip" -OutFile "$env:TEMP\risk-metrics-calculation.zip"; Expand-Archive "$env:TEMP\risk-metrics-calculation.zip" -DestinationPath "$HOME\.claude\skills" -Force

Claude.ai / desktopDownload the ZIP and upload it under Settings → Capabilities → Skills.

Codex, Cursor, other agentsPoint them at SKILL.md. The other files are plain text.

Connects with Agent Alley MCP · agentalley.io/mcp

Files included

SKILL.md2.0 KB
references/1 file · 16.5 KB

Read the files here

wshobson/4236bb92 files

SKILL.md2.0 KB

SKILL.md

Show the full text61 lines

risk-metrics-calculation/SKILL.md61 lines · 2.0 KB

PreviewCode

Outline

RawView on GitHub

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

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	---
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