Quantify portfolio risk using VaR, CVaR, and factor-based decomposition.
npx skills add https://github.com/tmcga/alpha-stack --skill risk-analytics
Please help me install this Agent Skill. Skill: risk-analytics Source: https://github.com/tmcga/alpha-stack/tree/main/skills/risk-analytics Command: npx skills add https://github.com/tmcga/alpha-stack --skill risk-analytics
Risk analytics teams need to quantify, monitor, and communicate portfolio risk across asset classes, using VaR, CVaR, drawdown, stress tests, and scenario analysis.
Provide your portfolio composition and return history, and I will generate a comprehensive risk report with VaR, CVaR, and scenario analysis.
High-intent search queries and answers about installing and using this skill.
Portfolio risk analysis calculates VaR and CVaR by applying factor-based risk decomposition to your portfolio composition and return history. This generates a comprehensive risk report quantifying potential losses and tail-risk metrics.
Stress-testing a portfolio involves running scenario analysis to evaluate performance under hypothetical market conditions. This Skill applies factor-based risk decomposition and tail-risk metrics to identify vulnerabilities and support informed risk governance.
Factor risk decomposition identifies drivers of portfolio risk versus alpha by attributing returns to specific risk factors. This separates systematic risk exposure from potential alpha generation, clarifying what truly impacts portfolio volatility.
Yes, you can assess liquidity risk and set monitoring limits for your portfolio. The Skill supports liquidity risk assessment, limit monitoring, and ex-ante or ex-post risk reporting to ensure positions remain manageable under stress.
To generate a comprehensive risk report with drawdown and tail-risk metrics, you need to provide your portfolio composition and return history. The Skill then processes this data to produce VaR, CVaR, and scenario analysis outputs.
Limitations of scenario analysis include model limitations, regime dependence, and specific guardrails. The Skill ensures clear communication of these constraints, providing explicit assumptions and confidence levels for all risk estimates.
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