What problem does it solve?
Portfolio architects and traders often rely on basic metrics that miss the full shape of downside risk, so this skill consolidates VaR, CVaR, drawdown, Monte Carlo, stress-test, and tail-risk analytics into a single reference point for understanding losses beyond the headline numbers.
Core Features & Use Cases
- Multi-method VaR & CVaR evaluation: provides historical, parametric, and Monte Carlo approaches plus expected shortfall comparisons to show how much capital is at risk at the 95% and 99% levels.
- Drawdown, Monte Carlo, and EVT analytics: reports maximum drawdown timing, simulates thousands of future paths, and fits generalized Pareto tails for kurtosis, skewness, and tail-type interpretation.
- Stress testing and scenario design: includes historical periods and hypothetical shocks so you can quantify losses against a chosen portfolio mix and verify whether risk budgets or stop-loss thresholds trigger.
- Use case: run this analysis on backtest metrics to determine whether a newly proposed strategy stays within the allocated risk envelope before deploying real capital.
Quick Start
Ask the risk-analysis skill to compute VaR, CVaR, drawdown, and stress-test impacts for the latest backtest performance.
