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risk-metrics-calculation

Calculate VaR, CVaR, Sharpe, Sortino, and drawdown from return series.

6|Updated Feb 25, 2026
Search Tags:#portfolio#stress-testing#risk#drawdown#sharpe#var#cvar
One-click install
npx skills add https://github.com/archibate/archibate-skills --skill risk-metrics-calculation-archibate
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: risk-metrics-calculation
Source: https://github.com/archibate/archibate-skills/tree/main/old-skills/minor-skills/risk-metrics-calculation
Command: npx skills add https://github.com/archibate/archibate-skills --skill risk-metrics-calculation-archibate

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

Provides a comprehensive toolkit to quantify portfolio risk across volatility, tail losses, drawdowns, and risk-adjusted performance so practitioners can monitor exposures, enforce limits, and support regulatory or reporting requirements.

Core Features & Use Cases

  • Multiple VaR approaches: historical, parametric, and Cornish-Fisher adjustments for non-normal returns.
  • Tail and drawdown analysis: CVaR/Expected Shortfall, max and average drawdowns, drawdown durations, and rolling drawdown windows.
  • Portfolio-level analytics: portfolio volatility, marginal/component risk contributions, risk parity weights, correlation and diversification metrics.
  • Stress testing and scenarios: historical crisis windows, hypothetical shocks, and Monte Carlo stress simulations for expected losses and extreme percentiles.
  • Use Case: Generate daily monitoring reports that include 95% and 99% VaR/CVaR, rolling 63-day volatility and Sharpe, and component risk contributions for position sizing and regulator filings.

Quick Start

Calculate 95% historical VaR, 95% CVaR, Sharpe ratio, and maximum drawdown for the provided daily returns series and return a concise summary.

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 for tail risk exposure?▼

Portfolio VaR and CVaR are calculated from return series using historical, parametric, and Cornish-Fisher approaches. The tool produces 95% and 99% confidence metrics for expected shortfall and tail losses across daily, weekly, or monthly horizons.

What's the best way to measure maximum drawdown and rolling volatility for portfolio monitoring?▼

Drawdown metrics and rolling-window volatility are computed directly from portfolio returns. The process outputs maximum drawdown, average drawdown, drawdown durations, and rolling metrics like 63-day volatility to support daily monitoring and position sizing.

How do I compute Sharpe and Sortino ratios for risk-adjusted performance?▼

Sharpe and Sortino ratios for risk-adjusted performance are calculated from asset or portfolio returns. The computation supports rolling-window metrics across daily, weekly, and monthly horizons for performance attribution and monitoring.

Can I calculate component risk contributions and marginal risk for portfolio weights?▼

Portfolio-level analytics compute volatility, marginal risk, and component risk contributions from returns and weights. The process supports position sizing, risk parity weight calculations, and correlation or diversification metrics.

Does this approach support stress testing and Monte Carlo simulations for extreme percentiles?▼

Stress testing supports historical crisis windows, hypothetical shocks, and Monte Carlo simulations. The process outputs expected losses and extreme percentiles for scenario analysis and regulatory reporting requirements.

When should I use Cornish-Fisher VaR adjustments instead of historical VaR?▼

Cornish-Fisher VaR adjustments apply when portfolio returns exhibit non-normal distributions. Historical VaR uses empirical return distributions, while parametric and Cornish-Fisher methods adjust for skewness and kurtosis in tail risk modeling.

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