risk-metrics-calculation

To calculate VaR and CVaR, you input your daily returns series to compute summary risk metrics. The calculation evaluates volatility and tail risk to quantify potential portfolio losses at specific confidence intervals.

Portfolio stress testing is performed by simulating adverse market conditions against your current holdings. The calculation evaluates historical events and hypothetical scenarios to measure potential capital losses and portfolio vulnerability.

Marginal risk contribution identifies how much each individual asset adds to total portfolio volatility. Risk parity weights are then calculated to equalize risk contributions across assets, ensuring balanced diversification rather than equal capital allocation.

Yes, you can compute rolling window calculations for Sharpe and Sortino ratios. This evaluates risk-adjusted returns over moving time periods, capturing dynamic performance changes rather than relying on static full-period averages.

Yes, the risk metric calculation supports both individual assets and entire portfolios. You can evaluate standalone volatility and drawdowns for single assets, or aggregate metrics like diversification ratios and correlations for complete portfolios.