How does the skill handle correlation between different assets?

It utilizes covariance matrices and Cholesky decomposition within its portfolio VaR and Monte Carlo functions to accurately model how asset correlations impact total portfolio risk.

What is the difference between VaR and Expected Shortfall in this skill?

VaR (Value-at-Risk) identifies a loss threshold at a specific confidence level, whereas Expected Shortfall (CVaR) calculates the average loss that occurs when that threshold is exceeded, providing a more comprehensive view of tail risk.

Can I use this skill for portfolios with non-linear instruments like options?

Yes, the skill provides Monte Carlo simulation patterns specifically designed to handle non-linear payoffs and non-normal return distributions that parametric models often miss.

Does this skill support regulatory risk calculations?

The skill implements industry-standard formulas for VaR and Stress Testing used in various regulatory capital frameworks, though it should be calibrated to your specific local compliance requirements.

Forward Risk Analysis

Name: Forward Risk Analysis
Author: JoelLewis

byJoelLewis

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데이터 과학 및 ML

Estimates potential future portfolio losses using Value-at-Risk (VaR), Monte Carlo simulations, and stress testing scenarios.

Provides advanced financial risk modeling capabilities directly within Claude Code, allowing users to quantify tail risk and project potential losses across diverse asset classes. It supports multiple methodologies including parametric VaR, Expected Shortfall (CVaR), and Monte Carlo simulations to handle non-normal distributions and complex instruments like options. Whether you are performing factor-based risk decomposition to isolate systematic exposures or conducting hypothetical stress tests for market crashes, this skill offers the rigorous mathematical frameworks and implementation patterns required for institutional-grade portfolio risk management.

주요 기능

0118 GitHub stars

02Hypothetical and Historical Scenario Stress Testing

03Component and Marginal VaR Risk Decomposition

04Factor-Based Systematic Risk Modeling

05Parametric and Monte Carlo VaR Calculation

06Expected Shortfall (CVaR) Tail Risk Analysis

사용 사례

01Estimating the maximum expected daily loss for a diversified investment portfolio at a 99% confidence level

02Identifying which specific holdings are the primary drivers of portfolio risk using Component VaR

03Simulating portfolio resilience under extreme scenarios such as interest rate shocks or equity market crashes

What are Skills?·How to Install

Install with 🐟 Skill.Fish

npx skillfish add joellewis/finance_skills forward-risk

For use in Claude.ai and ChatGPT

Download Skill