Does it handle downside risk specifically?

Yes, it calculates metrics like Downside Deviation, the Sortino Ratio, and the Omega Ratio to focus specifically on harmful volatility rather than total volatility.

What types of Value at Risk (VaR) does this skill support?

It supports Historical VaR, Parametric VaR (Normal distribution), and Cornish-Fisher VaR, which accounts for non-normality in returns like skewness and kurtosis.

Can this skill analyze multiple assets at once?

Yes, it includes specialized portfolio-level classes that handle asset returns DataFrames, calculate marginal risk contributions, and determine risk parity weights.

Is it suitable for strategy backtesting analysis?

Absolutely. It provides comprehensive summary reports including total returns, annual volatility, and max drawdown durations, making it ideal for evaluating strategy performance.

Risk Metrics Calculation

Name: Risk Metrics Calculation
Author: EngineerWithAI

byEngineerWithAI

0•

데이터 과학 및 ML

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

This skill provides a robust toolkit for measuring and monitoring financial risk within Claude Code. It enables the calculation of advanced metrics including Value at Risk (VaR), Expected Shortfall (CVaR), and drawdown analysis, alongside risk-adjusted return ratios like Sharpe, Sortino, and Calmar. Designed for quantitative traders and financial analysts, it supports both individual asset analysis and complex portfolio-level risk attribution, helping users implement risk limits, build monitoring dashboards, and perform stress testing on trading strategies using production-grade mathematical patterns.

주요 기능

01Supports rolling window calculations for dynamic risk and volatility monitoring

02Analyzes portfolio-level risk contributions and marginal risk metrics

030 GitHub stars

04Computes risk-adjusted performance ratios (Sharpe, Sortino, Calmar, and Omega)

05Calculates VaR and CVaR using historical, parametric, and Cornish-Fisher methods

06Performs detailed drawdown analysis including max drawdown and recovery duration

사용 사례

01Building real-time risk monitoring systems and automated dashboards

02Optimizing portfolio weights using risk parity and diversification analysis

03Evaluating the risk-adjusted performance of backtested trading strategies

What are Skills?·How to Install

Install with 🐟 Skill.Fish

npx skillfish add engineerwithai/engineerwith-agents risk-metrics-calculation

For use in Claude.ai and ChatGPT

Download Skill