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risk-metrics-calculation

Calculate portfolio risk metrics from returns data.

2|2|Updated Mar 26, 2026
Search Tags:#stress testing#drawdown#risk metrics#var#cvar#portfolio analytics#sharpe ratio
One-click install
npx skills add https://github.com/patronus-ai/skill-inject --skill risk-metrics-calculation-patronus-ai
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: risk-metrics-calculation
Source: https://github.com/patronus-ai/skill-inject/tree/main/data/skills/risk-metrics-calculation
Command: npx skills add https://github.com/patronus-ai/skill-inject --skill risk-metrics-calculation-patronus-ai

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve?

It helps you calculate portfolio risk metrics that quantify volatility, tail risk, and drawdowns so you can monitor and manage downside exposure with confidence.

Core Features & Use Cases

  • VaR and CVaR: Computes historical VaR and tail-risk-focused Expected Shortfall (CVaR) to quantify losses under different confidence levels.
  • Sharpe, Sortino, and drawdown analysis: Derives risk-adjusted performance (Sharpe/Sortino) and capital-preservation signals (max/average drawdown and drawdown duration).
  • Rolling and stress testing support: Enables risk monitoring over time and includes stress testing patterns (historical, hypothetical, and Monte Carlo-style scenarios).

Quick Start

Ask the AI to compute VaR, CVaR, Sharpe/Sortino, and drawdown statistics for a given series of portfolio returns and return a single summarized risk report.

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 Value at Risk and Conditional Value at Risk for a portfolio?▼

Value at Risk and Conditional Value at Risk are computed by processing your portfolio returns data to quantify potential losses and tail-risk exposure across specified confidence levels. The Skill generates a summarized risk report containing these statistics.

What is the best way to compute Sharpe and Sortino ratios using returns data?▼

Computing Sharpe and Sortino ratios involves applying deterministic statistical calculations to your portfolio returns data. This process derives risk-adjusted performance metrics, enabling you to evaluate returns relative to volatility and downside deviation.

Can I perform stress testing and rolling risk monitoring on portfolio returns?▼

You can perform stress testing and rolling risk monitoring by applying historical, hypothetical, and Monte Carlo-style scenarios to your portfolio returns. This enables continuous risk monitoring across different time horizons and confidence levels.

How do I measure drawdown statistics like max drawdown and drawdown duration?▼

Drawdown statistics are measured by analyzing your portfolio returns data to compute maximum drawdown, average drawdown, and drawdown duration. These metrics provide capital-preservation signals to help monitor and manage downside exposure.

Does this portfolio risk calculation require any specific dependencies or components?▼

This portfolio risk calculation requires no external dependencies or components. It operates independently using deterministic statistical calculations on your returns data to produce a comprehensive risk summary.

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