risk-metrics-calculation

Portfolio risk metrics like VaR and CVaR are computed by inputting returns data to generate a comprehensive summary. The calculation applies VaR, CVaR, drawdown, volatility, and risk-adjusted performance across multiple horizons and benchmarks.

Drawdown and volatility for a multi-asset portfolio are measured using rolling and historical analyses. This supports regime-sensitive performance evaluation and benchmark comparisons to deliver a combined performance profile.

Yes, Sharpe and Sortino ratios are computed for risk-aware decision making. The calculation evaluates risk-adjusted performance alongside VaR, CVaR, and drawdown metrics to support risk budgeting and performance attribution.

Yes, portfolio risk calculation supports benchmark comparisons across multiple horizons. It applies historical and rolling analyses to evaluate regime-sensitive performance and delivers a combined performance profile.

VaR, CVaR, Sharpe, Sortino, drawdown, and volatility metrics are needed for performance attribution and risk budgeting. These are computed across multiple horizons to quantify portfolio risk and enable risk-aware decisions under uncertainty.