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risk-metrics-calculation

Calculate portfolio risk metrics including VaR, CVaR, drawdown, and Sharpe ratio.

Updated Apr 5, 2026
Search Tags:#stress testing#drawdown#portfolio risk#risk metrics#var#cvar#sharpe ratio
One-click install
npx skills add https://github.com/Jhabbig/Habbig --skill risk-metrics-calculation-jhabbig
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: risk-metrics-calculation
Source: https://github.com/Jhabbig/Habbig/tree/main/.claude/plugins/wshobson/quantitative-trading/skills/risk-metrics-calculation
Command: npx skills add https://github.com/Jhabbig/Habbig --skill risk-metrics-calculation-jhabbig

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

This Skill turns raw return data into a clear risk picture so you can measure downside exposure, compare strategies, and set practical portfolio limits.

Core Features & Use Cases

  • Volatility and tail risk: Measure standard deviation, VaR, and CVaR for individual assets.
  • Drawdown analysis: Track maximum drawdown, drawdown duration, and recovery pressure over time.
  • Portfolio monitoring: Evaluate Sharpe, Sortino, Calmar, Omega, beta, diversification, and stress scenarios for multi-asset portfolios.

Quick Start

Use the risk-metrics-calculation skill to analyze the attached returns series and summarize its volatility, VaR, CVaR, drawdown, and Sharpe ratio.

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 VaR and CVaR for my portfolio returns?▼

To calculate VaR and CVaR, you provide your raw returns series to the skill. It measures volatility and tail risk to quantify downside exposure for individual assets and multi-asset portfolios.

What is the best way to measure maximum drawdown and recovery pressure?▼

Measuring maximum drawdown involves tracking the decline from peak to trough over time. The skill analyzes drawdown duration and recovery pressure to assess strategy resilience.

How do I evaluate risk-adjusted performance using Sharpe and Sortino ratios?▼

Evaluating risk-adjusted performance requires comparing returns against volatility. The skill calculates Sharpe, Sortino, Calmar, and Omega ratios from your returns series to compare strategy efficiency.

Can I run stress testing and scenario-based validation on a multi-asset portfolio?▼

Yes, you can run stress testing on multi-asset portfolios. The skill applies scenario-based validation and calculates beta and diversification metrics to monitor risk under specific market conditions.

How do I set practical portfolio risk limits from raw return data?▼

Setting portfolio risk limits involves transforming raw return data into a clear risk picture. The skill calculates volatility, VaR, and drawdown metrics to help you define and monitor practical exposure boundaries.

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