What problem does it solve?
This Skill helps you measure downside risk and stress-test portfolios so you can understand how bad outcomes can be under different market conditions.
Core Features & Use Cases
- VaR/CVaR (Risk Quantiles): Computes Value at Risk and Conditional VaR/Expected Shortfall using historical simulation, parametric (normal), and Monte Carlo methods to compare conservative tail behavior.
- Maximum Drawdown: Identifies peak-to-trough loss, recovery timing, and underwater duration from an equity curve for backtest risk review.
- Stress Testing & Tail Risk (EVT): Runs historical/hypothetical scenario stress tests and applies extreme value theory (GPD/POT) to classify tail behavior and quantify extreme losses.
Use Case: After backtesting a strategy, you can produce a risk report that includes VaR/CVaR, worst historical drawdown, results of multiple crisis scenarios, and tail-risk diagnostics to support risk-control constraints and allocation decisions.
Quick Start
Ask the AI to generate a risk analysis report for your strategy using VaR(95% and 99%), Monte Carlo (10,000 paths), at least three historical stress scenarios, and EVT tail characterization from your return or equity data.
