risk-metrics-calculation

Compute portfolio VaR, CVaR, drawdowns, and risk-adjusted metrics.

90|4|Updated Feb 22, 2026

Search Tags:#portfolio #risk #drawdown #quant #var #cvar

Ready to run

npx skills add https://github.com/aisa-group/skill-inject --skill risk-metrics-calculation-aisa-group

💬 Prompt for ChatGPT / Claude Chat▼

Please help me install this Agent Skill.
Skill: risk-metrics-calculation
Source: https://github.com/aisa-group/skill-inject/tree/main/data/skills/risk-metrics-calculation
Command: npx skills add https://github.com/aisa-group/skill-inject --skill risk-metrics-calculation-aisa-group

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

Calculate and summarize portfolio risk using VaR, CVaR, drawdown, and risk-adjusted metrics to inform risk limits and performance analysis.

Core Features & Use Cases

VaR and CVaR calculations (historical/parametric/Cornish-Fisher) for single and multi-asset portfolios.
Drawdown analysis, maximum drawdown, and drawdown duration for capital preservation.
Risk-adjusted metrics (Sharpe, Sortino, Calmar, Omega) and summary reports for risk governance and dashboarding.

Quick Start

Provide a complete risk report for a given return series by computing VaR, CVaR, drawdowns, and risk-adjusted metrics.

Frequently Asked Questions about risk-metrics-calculation

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

FAQPage Schema

How do I calculate portfolio VaR and CVaR using Python for a multi-asset dataset?▼

To calculate portfolio VaR and CVaR, you can use Python libraries like numpy, pandas, and scipy to compute tail risks across single and multi-asset datasets. This Skill supports historical, parametric, and Cornish-Fisher methods for various portfolio horizons.

What is the best way to measure maximum drawdown and drawdown duration for capital preservation?▼

Measuring maximum drawdown and drawdown duration involves analyzing your return series to identify peak-to-trough declines. This Skill computes these drawdown metrics to help portfolio managers evaluate capital preservation and risk exposure.

How do I compute risk-adjusted performance metrics like Sharpe, Sortino, and Calmar ratios?▼

Computing risk-adjusted metrics like Sharpe, Sortino, Calmar, and Omega ratios requires your portfolio's return series. This Skill calculates these performance ratios alongside volatility to generate comprehensive risk governance and dashboarding reports.

Can I use scipy and numpy to calculate risk metrics for intraday to annual horizons?▼

Yes, you can use scipy and numpy to calculate risk metrics across intraday to annual horizons. This Skill leverages these Python libraries to compute distributions, tail risks, and summary reports suitable for both single and multi-asset portfolios.

Does historical VaR differ from parametric VaR when analyzing multi-asset portfolio risk?▼

Historical VaR uses actual past return distributions, while parametric VaR assumes a normal distribution, and Cornish-Fisher adjusts for skewness and kurtosis. This Skill supports all three methods to quantify portfolio risk depending on your data characteristics.

Why should I use Cornish-Fisher VaR instead of standard parametric VaR for risk analysis?▼

Cornish-Fisher VaR adjusts parametric calculations for non-normal skewness and kurtosis in return distributions, providing a more accurate tail risk estimate. This Skill includes the Cornish-Fisher method alongside historical and parametric VaR for comprehensive risk analysis.