Does it provide drawdown duration statistics?

Yes, it tracks maximum drawdown duration, average duration, and current drawdown status to help measure capital recovery time.

What distributions are supported for VaR calculations?

The skill supports historical simulation, parametric (normal) distribution, and the Cornish-Fisher expansion which accounts for non-normal skewness and kurtosis.

Is the code compatible with standard Python data libraries?

The implementation is built on top of NumPy, Pandas, and SciPy, making it fully compatible with standard quantitative finance workflows.

Can this skill handle multi-asset portfolios?

Yes, it includes specialized classes for portfolio-level risk, calculating covariance matrices, marginal risk contributions, and risk parity weights.

Quantitative Risk Metrics

Name: Quantitative Risk Metrics
Author: gwickman

bygwickman

0•

データサイエンスとML

Calculates comprehensive portfolio risk metrics including VaR, CVaR, and risk-adjusted return ratios for quantitative trading strategies.

This skill provides a robust toolkit for measuring and managing financial risk within investment portfolios. It automates the calculation of essential metrics such as Value at Risk (VaR), Expected Shortfall (CVaR), and drawdown statistics, while also offering advanced portfolio-level insights like marginal risk contribution and risk parity weighting. Designed for quantitative analysts and developers, it enables the integration of professional-grade statistical analysis into trading systems, risk dashboards, and regulatory reporting workflows.

主な機能

01Advanced Tail Risk Analysis (VaR, CVaR, Cornish-Fisher expansion)

02Comprehensive Drawdown Tracking (Max DD, Average DD, and Duration)

03Risk-Adjusted Performance Ratios (Sharpe, Sortino, Calmar, and Omega)

04Portfolio-Level Marginal Risk and Component Contribution Analysis

05Rolling Window Metrics for Dynamic Risk Monitoring

060 GitHub stars

ユースケース

01Generating detailed risk-adjusted performance reports for investment portfolios.

02Implementing automated risk limits and circuit breakers for algorithmic trading.

03Optimizing asset allocation using risk parity and diversification ratio analysis.

What are Skills?·How to Install

Install with 🐟 Skill.Fish

npx skillfish add gwickman/auto-dev-test-target-1 risk-metrics-calculation

For use in Claude.ai and ChatGPT

Download Skill