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risk-analysis

Computes VaR, CVaR, max drawdown, stress tests from return series.

Updated Apr 14, 2026
Search Tags:#stress-testing#risk#monte-carlo#tail-risk#drawdown#var#cvar
One-click install
npx skills add https://github.com/Liangwei-zhang/six-stock --skill risk-analysis-liangwei-zhang
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: risk-analysis
Source: https://github.com/Liangwei-zhang/six-stock/tree/main/Vibe-Trading/agent/src/skills/risk-analysis
Command: npx skills add https://github.com/Liangwei-zhang/six-stock --skill risk-analysis-liangwei-zhang

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

Helps risk managers quantify and monitor potential losses by delivering VaR, CVaR, maximum drawdown, and stress-testing insights from return series.

Core Features & Use Cases

  • VaR and CVaR calculations using historical, parametric, and Monte Carlo methods for both single assets and portfolios.
  • Maximum drawdown analysis and recovery tracking across time series.
  • Historical scenario and tail-risk analysis to stress-test portfolios under extreme events.
  • Use Case: Validate risk budgets, conduct backtests, and stress-test portfolios under hypothetical shocks.

Quick Start

Analyze a portfolio return series to generate a risk report.

Frequently Asked Questions about risk-analysis

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

FAQPage Schema
How do I calculate VaR and CVaR for a portfolio return series?▼

To calculate VaR and CVaR, the skill analyzes your portfolio return series using historical, parametric, and Monte Carlo methods, outputting a structured risk report with tail risk metrics.

What is the difference between historical, parametric, and Monte Carlo VaR methods?▼

Historical VaR uses actual past returns, parametric VaR assumes a normal distribution, and Monte Carlo VaR simulates random scenarios. The skill implements all three to compute potential portfolio losses.

Can I stress-test portfolios under extreme market scenarios?▼

Yes, you can stress-test portfolios under extreme events. The skill performs historical scenario analysis and extreme value theory (EVT) analysis to measure tail risk and portfolio resilience.

Does this risk analysis tool support crypto and commodity return series?▼

Yes, the risk analysis tool supports crypto and commodity return series. It is applicable for backtests and scenario analysis across equities, bonds, commodities, and crypto assets.

How do I measure maximum drawdown and recovery for an equity backtest?▼

To measure maximum drawdown, the skill analyzes your equity return time series to track peak-to-trough declines and monitor recovery periods, delivering detailed drawdown metrics within the risk report.

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