greek-scenario-risk-attribution
CommunityAttribute option risk and PnL.
AuthorGhostOf0days
Version1.0.0
Installs0
System Documentation
What problem does it solve?
This Skill addresses the complexity of understanding option book profitability by breaking down Profit and Loss (PnL) into its constituent Greek sensitivities and stress scenarios.
Core Features & Use Cases
- Greek Decomposition: Attributes PnL to delta, gamma, vega, theta, and higher-order Greeks.
- Scenario Analysis: Evaluates risk and PnL under various stress scenarios, including jumps and skew.
- Use Case: When a portfolio experiences unexpected PnL swings, this Skill can identify whether the movement was primarily driven by changes in delta, vega, or other Greeks, and quantify the impact of specific market shocks.
Quick Start
Run the python script to generate diagnostics for the greek scenario risk attribution using input.csv.
Dependency Matrix
Required Modules
pandasargparsejson
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: greek-scenario-risk-attribution Download link: https://github.com/GhostOf0days/codex-quant-skills/archive/main.zip#greek-scenario-risk-attribution Please download this .zip file, extract it, and install it in the .claude/skills/ directory.
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