risk-metrics-calculation

To calculate portfolio VaR and CVaR, this skill processes your returns series to compute comprehensive tail risk metrics, supporting both single-asset and multi-asset portfolios across various horizons.

Measuring portfolio drawdown for risk reporting involves computing peak-to-trough declines using a returns series. This skill generates complete drawdown analyses alongside volatility and downside deviation metrics.

Yes, you can compute rolling risk metrics for intraday portfolio analysis. This skill calculates rolling volatility and downside deviation across horizons ranging from intraday to annual.

Stress testing and calculating Sharpe ratios for performance attribution are executed by analyzing returns series. The skill implements historical and hypothetical stress tests alongside Sortino and information ratio calculations.

Yes, this skill supports risk budgeting workflows by providing a ready-to-use framework for risk calculations. It delivers quantitative outputs applicable to dashboard visibility and regulatory reporting.

You should use CVaR instead of VaR when you need to assess potential losses beyond the standard threshold. This skill computes both metrics to help evaluate tail risk comprehensively during portfolio risk monitoring.