risk-model-config

What problem does it solve?

This Skill addresses the challenge of accurately assessing portfolio risk when illiquid or private assets lack standard market data, preventing risk calculations from being understated.

Core Features & Use Cases

• Illiquid Asset Risk Estimation: Estimates volatility and correlation for private equity, real estate, and other illiquid holdings.
• Valuation Staleness Detection: Identifies and applies risk uplifts for stale valuation data.
• Regime-Conditional Stress Testing: Adjusts risk parameters based on market volatility regimes (elevated, crisis).
• Use Case: Before running a portfolio risk analysis, use this skill to ensure that private equity and real estate holdings are properly accounted for with appropriate risk adjustments, even without direct market tickers.

Quick Start

Invoke risk-model-config before analyze_portfolio_risk when the portfolio contains illiquid holdings.