historical-risk
CommunityQuantify realized investment risk.
AuthorJoelLewis
Version1.0.0
Installs0
System Documentation
What problem does it solve?
This Skill helps users understand and quantify the historical risk of an investment or portfolio by calculating various risk metrics from past performance data.
Core Features & Use Cases
- Volatility Estimation: Calculate annualized volatility using different methods (close-to-close, Parkinson, Yang-Zhang).
- Drawdown Analysis: Measure maximum drawdown, drawdown duration, and recovery time.
- Downside Risk: Compute historical Value-at-Risk (VaR), downside deviation, and semi-variance.
- Tracking Error: Assess how closely a portfolio tracks its benchmark.
- Use Case: A portfolio manager wants to understand the worst-case historical loss for a fund over the last year. They can use this Skill to calculate the maximum drawdown and 95% historical VaR.
Quick Start
Calculate the annualized volatility and maximum drawdown for the provided daily return data.
Dependency Matrix
Required Modules
numpy
Components
scripts
💻 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: historical-risk Download link: https://github.com/JoelLewis/finance_skills/archive/main.zip#historical-risk Please download this .zip file, extract it, and install it in the .claude/skills/ directory.
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