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

数据科学与机器学习

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

关于

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.

主要功能

0 GitHub stars
Detailed drawdown analysis with maximum drawdown and recovery duration tracking.
Automated risk parity weighting and diversification ratio calculations for optimized allocation.
Portfolio-level risk decomposition and marginal risk contribution analysis.
Comprehensive risk-adjusted return calculations including Sharpe, Sortino, Omega, and Calmar ratios.
Tail risk measurement including historical, parametric, and Cornish-Fisher Value at Risk (VaR).

使用场景

Building automated risk management dashboards for algorithmic trading systems.
Performing historical backtesting and stress testing on multi-asset investment portfolios.
Generating regulatory compliance and performance attribution reports for financial stakeholders.

关于

主要功能

0 GitHub stars
Detailed drawdown analysis with maximum drawdown and recovery duration tracking.
Automated risk parity weighting and diversification ratio calculations for optimized allocation.
Portfolio-level risk decomposition and marginal risk contribution analysis.
Comprehensive risk-adjusted return calculations including Sharpe, Sortino, Omega, and Calmar ratios.
Tail risk measurement including historical, parametric, and Cornish-Fisher Value at Risk (VaR).

使用场景

Building automated risk management dashboards for algorithmic trading systems.
Performing historical backtesting and stress testing on multi-asset investment portfolios.
Generating regulatory compliance and performance attribution reports for financial stakeholders.