risk-metrics-calculation

To calculate portfolio risk metrics like VaR and CVaR, you provide a time series of periodic returns to trigger a comprehensive assessment that outputs Value at Risk, Conditional Value at Risk, drawdowns, and risk-adjusted performance ratios.

Historical VaR uses actual past return distributions, parametric VaR assumes a normal distribution, and Cornish-Fisher VaR adjusts for skewness and kurtosis. This Skill supports all three methods to quantify portfolio risk across different statistical assumptions.

You measure drawdown and rolling volatility by inputting periodic returns into the risk calculation, which analyzes peak-to-trough declines and generates rolling volatility metrics to support ongoing portfolio risk monitoring and compliance workflows.

Yes, you can calculate risk-adjusted returns including Sharpe, Sortino, Calmar, and Omega ratios. These metrics support performance attribution under risk constraints and risk budgeting by quantifying returns relative to portfolio volatility and drawdowns.

Yes, the risk calculation Skill supports stress testing using both historical and hypothetical scenarios. It evaluates portfolio risk metrics under adverse conditions to help finance teams validate risk budgets and ensure regulatory readiness.

You need a time series of periodic portfolio returns as input. Providing this return series allows the calculation of portfolio-level risk contributions, comprehensive drawdown analysis, and risk-adjusted metrics for risk-aware decision making.