Does it handle non-normal return distributions?

Yes, it includes the Cornish-Fisher expansion for VaR and the Sortino ratio to specifically account for skewness, kurtosis, and downside-only deviation.

What time horizons are supported for calculations?

The calculations can handle any time horizon (intraday, daily, monthly) by adjusting the 'ann_factor' parameter, which defaults to 252 for trading days per year.

Can I use this for portfolio-level analysis?

Yes, it includes a PortfolioRisk class for calculating weighted returns, marginal risk contributions, and component risk across multiple assets.

What types of Value at Risk (VaR) are supported?

The skill supports Historical VaR, Parametric VaR (assuming normal distribution), and Cornish-Fisher VaR which accounts for non-normality using skewness and kurtosis.

Quantitative Risk Metrics Calculation

Name: Quantitative Risk Metrics Calculation
Author: as4584

byas4584

0•

Data Science & ML

Calculates comprehensive portfolio risk metrics like VaR, CVaR, and Sharpe ratios to monitor and manage financial exposure.

This skill provides a robust toolkit for quantitative finance professionals and developers to measure portfolio risk, implement risk limits, and build monitoring systems. It includes high-performance implementations for various risk categories including volatility (Standard Deviation, Beta), tail risk (Value at Risk, Expected Shortfall), drawdown analysis, and risk-adjusted performance metrics like Sharpe, Sortino, and Calmar ratios. With support for both individual assets and complex portfolios, it enables precise risk-budgeting, diversification analysis, and regulatory reporting through industry-standard mathematical patterns.

Key Features

010 GitHub stars

02Detailed drawdown analysis with maximum drawdown and recovery duration tracking.

03Automated risk parity weighting and diversification ratio calculations for optimized allocation.

04Portfolio-level risk decomposition and marginal risk contribution analysis.

05Comprehensive risk-adjusted return calculations including Sharpe, Sortino, Omega, and Calmar ratios.

06Tail risk measurement including historical, parametric, and Cornish-Fisher Value at Risk (VaR).

Use Cases

01Building automated risk management dashboards for algorithmic trading systems.

02Performing historical backtesting and stress testing on multi-asset investment portfolios.

03Generating regulatory compliance and performance attribution reports for financial stakeholders.

What are Skills?·How to Install

Install with 🐟 Skill.Fish

npx skillfish add as4584/antigravity-skills risk-metrics-calculation

For use in Claude.ai and ChatGPT

Download Skill