risk-metrics-calculation

Calculate VaR, CVaR, drawdowns, and rolling risk metrics for portfolios.

3|1|Updated Feb 3, 2026

Search Tags:#portfolio #risk-metrics #drawdown #rolling #sharpe #var #cvar

Ready to run

npx skills add https://github.com/duanbiao2000/obsidianDoc26 --skill risk-metrics-calculation-duanbiao2000

💬 Prompt for ChatGPT / Claude Chat▼

Please help me install this Agent Skill.
Skill: risk-metrics-calculation
Source: https://github.com/duanbiao2000/obsidianDoc26/tree/main/agents-main/plugins/quantitative-trading/skills/risk-metrics-calculation
Command: npx skills add https://github.com/duanbiao2000/obsidianDoc26 --skill risk-metrics-calculation-duanbiao2000

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

This Skill provides a comprehensive toolkit to measure and manage portfolio risk by computing VaR, CVaR, drawdowns, volatility, and risk-adjusted performance metrics. It helps users evaluate risk exposure across assets and portfolios for better risk governance.

Core Features & Use Cases

VaR and CVaR calculations (historical, parametric, Cornish-Fisher)
Drawdown analysis including max drawdown and Calmar ratio
Rolling risk metrics, portfolio risk, stress testing, and scenario analysis
Use cases: risk dashboards, risk budgeting, performance attribution, regulatory reporting

Quick Start

Load a returns series and run RiskMetrics to generate a full risk 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 risk reporting?▼

Portfolio VaR and CVaR calculation is performed using historical, parametric, or Cornish-Fisher methods. The Skill generates a comprehensive risk summary that supports regulatory compliance and risk monitoring across investment strategies.

What is the best way to analyze drawdown and Calmar ratio for a returns series?▼

Drawdown analysis computes maximum drawdown and the Calmar ratio to evaluate risk-adjusted performance. You load a returns series and run the risk metrics calculation to generate a full performance attribution and risk summary.

Can I compute rolling risk metrics and perform stress testing with configurable windows?▼

Rolling risk metrics and stress testing support configurable windows and baselines. This enables scenario analysis and continuous risk measurement across portfolio assets for dynamic risk governance.

Does this approach support risk budgeting and performance attribution across assets?▼

Risk budgeting and performance attribution are supported through comprehensive portfolio risk measurement. It computes volatility, drawdowns, and risk-adjusted metrics to evaluate risk exposure across multiple assets and portfolios.

What data do I need to start measuring portfolio risk metrics?▼

Measuring portfolio risk metrics requires a loaded returns series as input. The Skill then calculates volatility, VaR, CVaR, and drawdowns to produce a full risk dashboard summary for monitoring and reporting.