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risk-metrics-calculation
GitHub用于计算投资组合风险指标（VaR、CVaR、夏普比率等）的工具，适用于风险评估、限额实施及监控体系构建。
Trigger Scenarios
测量投资组合风险
实施风险限额
构建风险监控仪表盘
计算风险调整后收益
Install
npx skills add wshobson/agents --skill risk-metrics-calculation -g -y
SKILL.md
Frontmatter
{
"name": "risk-metrics-calculation",
"description": "Calculate portfolio risk metrics including VaR, CVaR, Sharpe, Sortino, and drawdown analysis. Use when measuring portfolio risk, implementing risk limits, or building risk monitoring systems."
}
Risk Metrics Calculation
Comprehensive risk measurement toolkit for portfolio management, including Value at Risk, Expected Shortfall, and drawdown analysis.
When to Use This Skill
- Measuring portfolio risk
- Implementing risk limits
- Building risk dashboards
- Calculating risk-adjusted returns
- Setting position sizes
- Regulatory reporting
Core Concepts
1. Risk Metric Categories
| Category | Metrics | Use Case |
|---|---|---|
| Volatility | Std Dev, Beta | General risk |
| Tail Risk | VaR, CVaR | Extreme losses |
| Drawdown | Max DD, Calmar | Capital preservation |
| Risk-Adjusted | Sharpe, Sortino | Performance |
2. Time Horizons
Intraday: Minute/hourly VaR for day traders
Daily: Standard risk reporting
Weekly: Rebalancing decisions
Monthly: Performance attribution
Annual: Strategic allocation
Detailed patterns and worked examples
Detailed pattern documentation lives in references/details.md. Read that file when the navigation tier above is insufficient.
Best Practices
Do's
- Use multiple metrics - No single metric captures all risk
- Consider tail risk - VaR isn't enough, use CVaR
- Rolling analysis - Risk changes over time
- Stress test - Historical and hypothetical
- Document assumptions - Distribution, lookback, etc.
Don'ts
- Don't rely on VaR alone - Underestimates tail risk
- Don't assume normality - Returns are fat-tailed
- Don't ignore correlation - Increases in stress
- Don't use short lookbacks - Miss regime changes
- Don't forget transaction costs - Affects realized risk
Version History
- 367cb6a Current 2026-08-20 06:55
