correlation-crisis

Analyze asset correlations across market regimes and quantify tail-risk exposure.

10|2|Updated Mar 8, 2026

Search Tags:#portfolio #stress-testing #risk-management #hedging #correlation #tail-risk #regime

Ready to run

npx skills add https://github.com/mahmoud20138/Tradecraft --skill correlation-crisis

💬 Prompt for ChatGPT / Claude Chat▼

Please help me install this Agent Skill.
Skill: correlation-crisis
Source: https://github.com/mahmoud20138/Tradecraft/tree/main/plugins/tradecraft/skills/correlation-crisis
Command: npx skills add https://github.com/mahmoud20138/Tradecraft --skill correlation-crisis

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

This Skill helps quantify and manage tail risk by modeling how asset correlations change across market regimes and by highlighting regime-dependent hedging opportunities.

Core Features & Use Cases

Regime-aware correlation analysis: compute separate correlation matrices for calm, mid, high, and crisis regimes.
Tail-risk metrics: VaR, CVaR, maximum drawdown, tail ratio to assess extreme events.
Stress-testing protocols: simulate regime shifts and evaluate portfolio resilience and hedging effectiveness.

Quick Start

Analyze your portfolio to identify regime-driven diversification gaps and stress-test hedges.

Frequently Asked Questions about correlation-crisis

High-intent search queries and answers about installing and using this skill.

FAQPage Schema

How do I stress-test a portfolio using regime-aware correlations?▼

Stress-test a portfolio by computing separate correlation matrices for calm, mid, high, and crisis regimes, then simulating regime shifts to evaluate portfolio resilience and hedging effectiveness under each condition.

Why do asset correlations change during market crises and how does it affect tail risk?▼

Asset correlations typically increase during market crises, reducing diversification benefits and elevating tail risk; regime-aware correlation analysis isolates these crisis-period matrices to quantify true extreme-event exposure.

What tail-risk metrics should I use to measure extreme event exposure?▼

Use Value at Risk (VaR), Conditional Value at Risk (CVaR), maximum drawdown, and tail ratio to assess extreme event exposure and quantify potential portfolio losses during crisis regimes.

How do I build regime-dependent hedging strategies for multi-asset portfolios?▼

Build regime-dependent hedging strategies by analyzing regime-specific correlation matrices across multi-asset portfolios, identifying diversification gaps in crisis periods, and stress-testing hedges against simulated regime shifts.

Can I monitor portfolio tail-risk exposure across different market regimes?▼

Yes, monitor portfolio tail-risk exposure by applying dynamic regime classification to continuously assess regime-specific correlation matrices and calculate reporting metrics like VaR and CVaR for each regime.

What's the best way to identify diversification gaps in a portfolio during market stress?▼

Identify diversification gaps by computing regime-specific correlation matrices and comparing calm-period correlations against crisis-period correlations to detect assets that lose diversification benefits under stress.