risk-analysis

Portfolio VaR and CVaR are calculated by processing return series and portfolio weights to contrast historical, parametric, and Monte Carlo approaches. This captures both typical and extreme losses across your portfolio exposure.

Portfolio stress testing walks through historical crises and hypothetical shocks to quantify scenario losses and identify stop-loss triggers. You provide return or equity series and optional benchmarks to output descriptive statistics.

Tail-risk diagnostics fit EVT models, kurtosis, skewness, and tail ratios to determine whether exposures are fat-tailed. This reveals extreme loss vulnerabilities hidden in standard volatility metrics.

Monte Carlo simulation contrasts with historical and parametric approaches to capture typical and extreme portfolio losses. You process return series and portfolio weights to output simulated scenario losses.

Run risk analysis after a backtest to report volatility, drawdown, stress scenarios, and EVT tail type before adjusting allocations. The skill processes return series and portfolio weights to output these descriptive statistics.

Extreme Value Theory is needed when evaluating tail-risk diagnostics to judge whether portfolio exposures are fat-tailed. EVT tail metrics reveal extreme loss behavior that standard risk metrics may miss.