forward-risk
CommunityQuantify potential future portfolio losses.
Finance & Accounting#risk management#stress testing#Monte Carlo#VaR#portfolio risk#Expected Shortfall
AuthorJoelLewis
Version1.0.0
Installs0
System Documentation
What problem does it solve?
This Skill helps users understand and quantify the potential financial losses a portfolio could face under various market conditions, enabling better risk management.
Core Features & Use Cases
- Value-at-Risk (VaR) Calculation: Estimate maximum potential loss at a given confidence level (e.g., 95% VaR).
- Conditional VaR (CVaR) / Expected Shortfall: Determine the average loss given that the VaR threshold is breached, providing insight into tail risk.
- Scenario Analysis & Stress Testing: Simulate portfolio performance under specific adverse market events (e.g., market crashes, interest rate shocks).
- Risk Decomposition: Identify which specific assets or factors contribute most to the overall portfolio risk (Component VaR, Factor Risk).
- Use Case: A portfolio manager wants to know the maximum potential loss on their equity portfolio over the next trading day with 99% confidence, and what the average loss would be if that threshold is breached.
Quick Start
Estimate the 95% one-day VaR for a portfolio with given weights and covariance matrix.
Dependency Matrix
Required Modules
numpyscipy
Components
scriptsreferences
💻 Claude Code Installation
Recommended: Let Claude install automatically. Simply copy and paste the text below to Claude Code.
Please help me install this Skill: Name: forward-risk Download link: https://github.com/JoelLewis/finance_skills/archive/main.zip#forward-risk Please download this .zip file, extract it, and install it in the .claude/skills/ directory.
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