Financial Analyst - Risk & Quant

What problem does it solve?

This Skill turns Claude into a CFA-equivalent quantitative risk and portfolio analyst capable of producing institutional-grade attributions, optimised allocations, risk budgets, stress tests, and execution plans with transparent assumptions and diagnostics. It removes the manual, error-prone workflow of stitching together factor models, optimisation routines, tail-risk measures, credit analytics, and macro signals by pairing expert reasoning with corp-finance MCP computation tools.

Core Features & Use Cases

• Factor attribution & decomposition: multi-factor (CAPM, Fama-French, Carhart) attribution with R², alpha, and marginal risk contributions.
• Portfolio optimisation & Black-Litterman: implied equilibrium returns, view incorporation, posterior returns and mean-variance/BL-derived weights.
• Risk budgeting & tail risk: ERC / inverse-vol allocations, parametric/historical VaR, Cornish-Fisher adjustments, and CVaR component analysis.
• Stress testing & credit analytics: historical and hypothetical scenarios, Gaussian copula credit VaR, rating migration P&L and granularity adjustments.
• Market microstructure & execution: spread decomposition, Kyle lambda, Almgren-Chriss execution scheduling, VWAP/TWAP/IS strategies.
• Index construction & smart beta: weighting schemes, rebalancing, tracking error estimation, reconstitution buffers and turnover analysis.
• Use case: Run a full pre-trade portfolio change: attribute current risk to factors, propose BL-tilted weights, compute expected tracking error and CVaR, and produce an execution schedule.

Quick Start

Ask Claude to perform a factor attribution on a portfolio using monthly returns and factor returns, then generate a Black-Litterman posterior and an optimised portfolio with CVaR stress tests.