Risk Metrics Calculation

When to use this skill

Use Risk Metrics Calculation when an AI agent needs a reusable SKILL.md workflow for this job: 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.

When not to use it

Skip Risk Metrics Calculation when the task is outside the coding category, or when a more specific skill in this directory already covers the same workflow with clearer triggers.

How to install

1. Personal install: create ~/.claude/skills/risk-metrics-calculation/SKILL.md (and any bundled scripts) so Claude Code, Claude Desktop, and compatible agents can load it in every project.
2. Project install: commit the same folder at .claude/skills/risk-metrics-calculation/ so teammates get the skill with the repo.
3. Restart the agent session after copying files so it re-scans the skills directory, then ask for the task in words that match the skill description.

Full install guide for Claude, Cursor, and Codex

What this skill does

# 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

Intended uses

• Measuring portfolio risk
• Implementing risk limits
• Building risk dashboards
• Calculating risk-adjusted returns
• Setting position sizes
• Regulatory reporting