What volatility estimators does this skill support?

The skill supports Close-to-Close, Parkinson (high-low), and Yang-Zhang (OHLC) estimators to capture risk from different data granularities.

How is Historical VaR different from Parametric VaR?

Historical VaR is non-parametric; it uses the actual empirical distribution of past returns rather than assuming a normal distribution, making it more sensitive to 'fat tails'.

Can it calculate drawdown recovery time?

Yes, it identifies the number of periods required for an investment to return from its trough back to its previous peak level.

Is this skill used for predictive forecasting?

This specific skill focuses on retrospective or realized risk. However, its outputs often serve as critical inputs for forward-looking risk models.

Historical Risk Analysis

Name: Historical Risk Analysis
Author: JoelLewis

byJoelLewis

•

Data Science & ML

Calculates realized investment risk using historical data through volatility estimators, drawdown analysis, and downside metrics.

The Historical Risk Analysis skill enables Claude to perform sophisticated retrospective financial risk assessments by computing key metrics like Parkinson and Yang-Zhang volatility, maximum drawdown, and historical Value-at-Risk (VaR). It provides quantitative insights into an investment's past performance and risk profile, identifying peak-to-trough losses, recovery times, and tracking errors relative to benchmarks. This tool is essential for wealth managers and financial analysts needing to evaluate asset stability, asymmetric risk, and historical distribution patterns using observed market data.

Key Features

01Advanced volatility estimators including Parkinson (High-Low) and Yang-Zhang (OHLC).

0218 GitHub stars

03Tracking error measurement for quantifying portfolio deviation from benchmarks.

04Asymmetric risk assessment via downside deviation and semi-variance metrics.

05Empirical Historical Value-at-Risk (VaR) calculations without distributional assumptions.

06Comprehensive drawdown analysis covering maximum drawdown, duration, and recovery time.

Use Cases

01Determining the worst-case historical decline and time-to-recovery for a specific asset.

02Comparing intraday vs. close-to-close volatility to identify hidden market turbulence.

03Calculating the historical probability of significant losses for portfolio stress testing.

What are Skills?·How to Install

Install with 🐟 Skill.Fish

npx skillfish add joellewis/finance_skills historical-risk

For use in Claude.ai and ChatGPT

Download Skill