Risk Metrics Calculation

关于

Provides a robust toolkit for quantitative finance professionals to measure and monitor investment risk across various time horizons. It enables the implementation of sophisticated risk management systems through standardized patterns for tail risk analysis, drawdown metrics, and portfolio diversification assessments. Whether building risk dashboards or conducting historical stress tests, this skill ensures rigorous mathematical consistency in evaluating financial performance and capital preservation strategies.

主要功能

• Detailed drawdown analysis including maximum drawdown and recovery duration tracking
• 23,139 GitHub stars
• Advanced tail risk modeling using parametric, historical, and Cornish-Fisher VaR methods
• Portfolio-level risk decomposition including marginal and component risk contributions
• Rolling window calculations and volatility regime classification for dynamic monitoring
• Core risk-adjusted return ratios including Sharpe, Sortino, Calmar, and Omega ratios

使用场景

• Building automated risk monitoring dashboards and regulatory reporting systems
• Conducting historical stress tests and crisis scenario analysis for investment portfolios
• Implementing risk-parity based portfolio rebalancing and position sizing logic