Does it support multi-asset portfolio analysis?

Absolutely. It provides patterns for calculating portfolio-level volatility, marginal risk contribution, and asset correlation matrices.

Can I use this for real-time risk monitoring?

While the core logic is provided for calculation, it can be integrated into streaming data pipelines or rolling window systems for intraday or daily risk monitoring.

Can it handle non-normal return distributions?

Yes, it includes an implementation of the Cornish-Fisher expansion to calculate VaR, which accounts for skewness and kurtosis in non-normal return data.

What risk metrics are supported by this skill?

The skill supports a wide range of metrics including Volatility (Std Dev, Beta), Tail Risk (VaR, CVaR), Drawdown (Max DD, Calmar), and Risk-Adjusted returns (Sharpe, Sortino, Omega).

Quantitative Risk Metrics Calculation

Name: Quantitative Risk Metrics Calculation
Author: nguyendinhquocx

bynguyendinhquocx

0•

数据科学与机器学习

Calculates comprehensive portfolio risk metrics and performance indicators to enhance financial risk management and reporting.

This skill provides a specialized toolkit for quantitative finance, enabling Claude to calculate essential risk metrics such as Value at Risk (VaR), Conditional VaR (CVaR), and various risk-adjusted return ratios like Sharpe, Sortino, and Calmar. It includes advanced implementation patterns for tail risk analysis using Cornish-Fisher expansions, portfolio-level risk attribution, and drawdown duration tracking. Whether building a risk dashboard, setting position sizes, or conducting regulatory reporting, this skill ensures consistent and mathematically rigorous risk measurement across trading strategies and investment portfolios.

主要功能

01Comprehensive drawdown analysis with max drawdown and recovery duration tracking.

02Portfolio-level risk attribution and marginal risk contribution (MRC) calculations.

03Tail risk measurement including Historical, Parametric, and Cornish-Fisher VaR/CVaR.

040 GitHub stars

05Automated risk-parity weighting and diversification ratio assessment.

06Risk-adjusted performance metrics including Sharpe, Sortino, Calmar, and Omega ratios.

使用场景

01Automating periodic portfolio risk reporting and limit monitoring.

02Optimizing portfolio allocations based on risk-parity or target volatility.

03Backtesting trading strategies with detailed risk-adjusted performance statistics.

What are Skills?·How to Install

Install with 🐟 Skill.Fish

npx skillfish add nguyendinhquocx/code-ai risk-metrics-calculation

For use in Claude.ai and ChatGPT

Download Skill