risk-analysis

Portfolio VaR and CVaR are calculated using historical, parametric, and Monte Carlo methods to estimate potential losses. The simulation projects return distributions to quantify tail-risk exposure across various confidence intervals.

Stress-testing portfolio risk involves applying scenario-based analysis and EVT tail fitting to evaluate extreme market conditions. This process generates actionable risk-control recommendations to mitigate potential tail losses.

Maximum drawdown analysis tracks peak and trough points in backtest data to measure the largest historical loss. It establishes recovery timelines to evaluate strategy risk exposure and capital allocation efficiency.

Parametric and historical VaR can be computed directly from a dataset of returns. The analysis runs across multiple methodologies to produce comprehensive risk reports including CVaR and maximum drawdown metrics.

Extreme value theory tail fitting is used when analyzing portfolio tail-risk beyond standard distributions. It models extreme loss events during stress testing to provide robust risk-control insights for capital allocation.