risk-metrics-calculation
🎯SkillHelps you measure how risky an investment portfolio is. It covers common measures such as how much you might lose on a bad day, how far value has fallen from its peak, and how much return you get for the risk you take.
Installation
npx skills add wshobson/agents --skill risk-metrics-calculationRun it in a terminal; it asks which AI coding tools to install it for (Claude Code, Codex, Cursor and more).
Uses skills.sh · Node.js 22.20+
After installing
Ask for related work and the agent uses it on its own, or call it yourself.
/risk-metrics-calculationInstall by hand
Copy the whole skill folder from GitHub to the place below. Copying only SKILL.md can leave out files the skill uses.
Open the skill folder →- This project
.claude/skills/risk-metrics-calculation/ - All projects
~/.claude/skills/risk-metrics-calculation/
These paths are for Claude Code. For other tools, the command above puts it in the right place.
What this skill does
Overview
This skill helps you calculate risk numbers for a portfolio, which is a group of investments. It covers measures like VaR, an estimate of how much you could lose on a bad day. It also covers drawdown, which is how far the value has dropped from its highest point.
Key Features
- You can measure how much prices swing up and down over time.
- You can estimate likely losses in rare bad cases with VaR and CVaR, the average of the worst losses.
- You can compare returns against risk with the Sharpe and Sortino ratios.
- You can pick a time frame, from minutes for day traders to a full year for long-term plans.
- You can follow tips such as using several measures and testing against past market crashes.
Who is this for?
It is for people who build trading tools, risk dashboards or investment reports. It also helps anyone who needs to set loss limits or decide how much to put into each position.
Summarized by AI from this skill's SKILL.md. Suggest a better one
SKILL.md
View on GitHub →Calculate portfolio risk metrics including VaR, CVaR, Sharpe, Sortino, and drawdown analysis. Use when measuring portfolio risk, implementing risk limits, or building risk monitoring systems.
Risk Metrics Calculation
Comprehensive risk measurement toolkit for portfolio management, including Value at Risk, Expected Shortfall, and drawdown analysis.
When to Use This Skill
- Measuring portfolio risk
- Implementing risk limits
- Building risk dashboards
- Calculating risk-adjusted returns
- Setting position sizes
- Regulatory reporting
Core Concepts
1. Risk Metric Categories
| Category | Metrics | Use Case |
|---|---|---|
| Volatility | Std Dev, Beta | General risk |
| Tail Risk | VaR, CVaR | Extreme losses |
| Drawdown | Max DD, Calmar | Capital preservation |
| Risk-Adjusted | Sharpe, Sortino | Performance |
2. Time Horizons
Intraday: Minute/hourly VaR for day traders
Daily: Standard risk reporting
Weekly: Rebalancing decisions
Monthly: Performance attribution
Annual: Strategic allocation
Detailed patterns and worked examples
Detailed pattern documentation lives in references/details.md. Read that file when the navigation tier above is insufficient.
Best Practices
Do's
- Use multiple metrics - No single metric captures all risk
- Consider tail risk - VaR isn't enough, use CVaR
- Rolling analysis - Risk changes over time
- Stress test - Historical and hypothetical
- Document assumptions - Distribution, lookback, etc.
Don'ts
- Don't rely on VaR alone - Underestimates tail risk
- Don't assume normality - Returns are fat-tailed
- Don't ignore correlation - Increases in stress
- Don't use short lookbacks - Miss regime changes
- Don't forget transaction costs - Affects realized risk
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