var-report

Generate Value at Risk reports using Historical, Parametric, Monte Carlo, and EVT methodologies.

Updated Aug 23, 2026
One-click install
npx skills add https://github.com/maminul007/trading-platform --skill var-report
Or copy as Structured Prompt for Agent
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Skill: var-report
Source: https://github.com/maminul007/trading-platform/tree/main/.claude/skills/var-report
Command: npx skills add https://github.com/maminul007/trading-platform --skill var-report

SYSTEM DOCUMENTATION & REQUIREMENTS

💡 This Skill includes scripts (resource) and references (resource) components.

What problem does it solve?

This Skill automates the generation of comprehensive Value at Risk (VaR) reports, providing crucial insights into potential portfolio losses under various market conditions.

Core Features & Use Cases

  • Multi-Method VaR Calculation: Supports Historical, Parametric, Monte Carlo, and EVT methodologies.
  • Customizable Horizons and Confidence Levels: Allows for analysis over different timeframes (e.g., 1-day, 10-day) and confidence intervals (e.g., 95%, 99%).
  • Component and Backtesting Analysis: Provides detailed breakdowns of VaR by position and includes backtesting to validate model accuracy.
  • Use Case: A risk manager needs to assess the potential downside risk of a new investment portfolio for regulatory reporting. This Skill can generate a detailed VaR report with multiple methodologies and backtesting results to satisfy compliance requirements.

Quick Start

Generate a full VaR dashboard for the current portfolio.

Frequently Asked Questions about var-report

High-intent search queries and answers about installing and using this skill.

FAQPage Schema
How do I calculate Value at Risk for a portfolio using multiple methodologies?

You can calculate Value at Risk using Historical, Parametric, Monte Carlo, and EVT methodologies simultaneously. This generates a comprehensive risk report assessing potential portfolio losses under different statistical assumptions and market conditions.

Can I customize confidence levels and time horizons for VaR backtesting?

Yes, you can customize confidence intervals (e.g., 95%, 99%) and time horizons (e.g., 1-day, 10-day) for your VaR analysis. This flexibility allows you to validate model accuracy through backtesting across different regulatory and internal risk management scenarios.

What is component VaR and how does it break down portfolio risk?

Component VaR provides a detailed breakdown of total portfolio risk by individual position. This identifies which specific assets contribute most to potential losses, enabling precise risk assessment and targeted portfolio adjustments.

Does Monte Carlo VaR simulation work for regulatory compliance reporting?

Monte Carlo VaR simulation supports regulatory compliance reporting by modeling potential portfolio losses under various market scenarios. It generates detailed reports with backtesting results to validate model accuracy for formal risk assessment submissions.

What is the best way to generate a comprehensive VaR report for risk assessment?

The best way to generate a comprehensive VaR report is using multi-method calculations with customizable horizons and confidence levels. This produces detailed risk assessments with component VaR breakdowns and backtesting results for regulatory compliance.

Why use Extreme Value Theory (EVT) instead of Historical VaR for tail risk analysis?

Extreme Value Theory (EVT) estimates tail risk more accurately than Historical VaR by modeling extreme market movements beyond observed historical data. This provides deeper risk assessment insights for rare but high-impact portfolio losses.