risk-metrics-calculation
OfficialQuantify and manage portfolio risk.
Finance & Accounting#risk management#Sharpe ratio#portfolio analysis#stress testing#VaR#financial metrics#drawdown
AuthorACGSpgp
Version1.0.0
Installs0
System Documentation
What problem does it solve?
This Skill provides a comprehensive toolkit for calculating and analyzing various risk metrics of financial portfolios, enabling better risk management and informed decision-making.
Core Features & Use Cases
- Risk Metric Calculation: Computes metrics like VaR, CVaR, Sharpe Ratio, Sortino Ratio, and drawdown analysis.
- Portfolio Risk Analysis: Assesses portfolio-level risk, including marginal risk contribution and diversification.
- Rolling Metrics & Stress Testing: Analyzes risk over time with rolling windows and simulates performance during historical or hypothetical crises.
- Use Case: A portfolio manager needs to understand the potential downside risk of their portfolio during a market downturn. They can use this Skill to calculate the Value at Risk (VaR) and Conditional Value at Risk (CVaR) for a 95% confidence level over the past year.
Quick Start
Calculate the Sharpe Ratio and Maximum Drawdown for the provided daily returns series.
Dependency Matrix
Required Modules
None requiredComponents
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: risk-metrics-calculation Download link: https://github.com/ACGSpgp/ACGS/archive/main.zip#risk-metrics-calculation Please download this .zip file, extract it, and install it in the .claude/skills/ directory.
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