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risk-metrics-calculation

Compute VaR, CVaR, Sharpe, Sortino, and drawdown metrics from return series.

Updated Feb 3, 2026
Search Tags:#metrics#portfolio#risk#volatility#drawdown#var#cvar
One-click install
npx skills add https://github.com/leonardoteodoroo/amino-advanced --skill risk-metrics-calculation-leonardoteodoroo
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: risk-metrics-calculation
Source: https://github.com/leonardoteodoroo/amino-advanced/tree/main/.agent/skills/risk-metrics-calculation
Command: npx skills add https://github.com/leonardoteodoroo/amino-advanced --skill risk-metrics-calculation-leonardoteodoroo

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

Calculate and summarize portfolio risk using VaR, CVaR, Sharpe, Sortino, and drawdown analyses to inform risk-aware decisions and monitoring.

Core Features & Use Cases

  • Core metrics: volatility, VaR, CVaR, drawdowns, and risk-adjusted performance indicators with optional annualization.
  • Use cases: measuring risk, enforcing risk limits, building dashboards, performance attribution, and regulatory reporting.
  • Real-world scenario: use it to monitor a multi-asset portfolio's risk profile across intraday to long-horizon horizons.

Quick Start

Provide a time-series of periodic returns to compute the full risk summary and report key metrics.

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 risk metrics like VaR and CVaR from periodic returns?▼

To calculate portfolio risk metrics, provide a time-series of periodic returns to compute a full risk summary including VaR, CVaR, volatility, and drawdowns. The Skill processes these returns via modular Python classes with configurable annualization.

What is the best way to compute drawdown and risk-adjusted performance indicators for a multi-asset portfolio?▼

Computing drawdown and risk-adjusted performance indicators requires a time-series of periodic returns to calculate Sharpe, Sortino, and drawdown metrics. This approach supports monitoring multi-asset portfolios across intraday to long horizons.

Can I use portfolio risk analysis for regulatory reporting and performance attribution?▼

Yes, portfolio risk analysis applies directly to regulatory reporting and performance attribution. It summarizes VaR, CVaR, and risk-adjusted measures with optional annualization across configurable horizons.

Do I need a benchmark to calculate volatility and Sortino ratios for investment management?▼

Calculating volatility and Sortino ratios supports configurable benchmarks for investment management. You provide periodic returns and the computation outputs risk-adjusted performance measures with optional annualization.

What time horizons are supported when measuring risk for a portfolio monitoring dashboard?▼

Measuring risk for a portfolio monitoring dashboard supports intraday to annual horizons. You supply periodic returns and the calculation outputs drawdowns, VaR, and CVaR metrics across these configurable timeframes.

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