What time horizons are supported?

The skill is designed for flexibility, supporting intraday, daily, weekly, monthly, and annual calculations through adjustable frequency factors.

Does it handle benchmark comparisons?

Yes, it includes functions for calculating Beta, Information Ratio, and Tracking Error relative to a specified benchmark.

Which risk-adjusted ratios are included?

It provides implementations for Sharpe, Sortino, Calmar, Omega, and Information ratios to evaluate performance relative to risk.

Does this skill support non-normal distribution analysis?

Yes, it includes Cornish-Fisher expansion for VaR calculations to account for skewness and kurtosis in non-normal return distributions.

Can I use this for multi-asset portfolios?

Absolutely. The skill includes patterns for PortfolioRisk analysis, including marginal risk contribution and risk parity weighting.

Risk Metrics Calculation

Name: Risk Metrics Calculation
Author: wshobson

bywshobson

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23,194

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データサイエンスとML

Calculates comprehensive portfolio risk metrics and performance indicators for quantitative finance and investment management.

This skill provides a specialized toolkit for measuring and analyzing portfolio risk within the Claude Code environment. It automates complex quantitative finance calculations including Value at Risk (VaR), Expected Shortfall (CVaR), drawdown analysis, and risk-adjusted performance ratios like Sharpe and Sortino. By offering standardized implementation patterns for both individual assets and diversified portfolios, it enables developers to build robust risk monitoring systems, set position limits, and generate detailed regulatory or performance reports with high precision.

主な機能

01Calculates tail risk metrics including Historical, Parametric, and Cornish-Fisher Value at Risk (VaR).

02Computes risk-adjusted performance ratios such as Sharpe, Sortino, Calmar, and Omega.

03Supports rolling window calculations for dynamic risk monitoring over time.

04Provides advanced drawdown analysis for capital preservation and recovery tracking.

05Enables portfolio-level risk attribution and marginal risk contribution (MRC) analysis.

0623,194 GitHub stars

ユースケース

01Implementing automated risk limits and monitoring systems for quantitative trading strategies.

02Generating detailed risk-adjusted performance reports for investment portfolios.

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

主な機能

01Calculates tail risk metrics including Historical, Parametric, and Cornish-Fisher Value at Risk (VaR).

02Computes risk-adjusted performance ratios such as Sharpe, Sortino, Calmar, and Omega.

03Supports rolling window calculations for dynamic risk monitoring over time.

04Provides advanced drawdown analysis for capital preservation and recovery tracking.

05Enables portfolio-level risk attribution and marginal risk contribution (MRC) analysis.

0623,194 GitHub stars

ユースケース

01Implementing automated risk limits and monitoring systems for quantitative trading strategies.

02Generating detailed risk-adjusted performance reports for investment portfolios.

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