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- 310 registry:skill items, 1528 files, 7 categories (hub tags) - registry.json generated by @kortix/registry buildRegistry - nested SKILL.md in sn-da-* renamed SUBSKILL.md (no phantom skills) - provenance + licenses: SOURCES.md
61 lines
2.0 KiB
Markdown
61 lines
2.0 KiB
Markdown
---
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name: risk-metrics-calculation
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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.
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---
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# Risk Metrics Calculation
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Comprehensive risk measurement toolkit for portfolio management, including Value at Risk, Expected Shortfall, and drawdown analysis.
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## When to Use This Skill
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- Measuring portfolio risk
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- Implementing risk limits
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- Building risk dashboards
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- Calculating risk-adjusted returns
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- Setting position sizes
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- Regulatory reporting
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## Core Concepts
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### 1. Risk Metric Categories
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| Category | Metrics | Use Case |
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| ----------------- | --------------- | -------------------- |
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| **Volatility** | Std Dev, Beta | General risk |
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| **Tail Risk** | VaR, CVaR | Extreme losses |
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| **Drawdown** | Max DD, Calmar | Capital preservation |
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| **Risk-Adjusted** | Sharpe, Sortino | Performance |
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### 2. Time Horizons
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```
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Intraday: Minute/hourly VaR for day traders
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Daily: Standard risk reporting
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Weekly: Rebalancing decisions
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Monthly: Performance attribution
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Annual: Strategic allocation
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```
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## Detailed patterns and worked examples
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Detailed pattern documentation lives in `references/details.md`. Read that file when the navigation tier above is insufficient.
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## Best Practices
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### Do's
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- **Use multiple metrics** - No single metric captures all risk
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- **Consider tail risk** - VaR isn't enough, use CVaR
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- **Rolling analysis** - Risk changes over time
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- **Stress test** - Historical and hypothetical
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- **Document assumptions** - Distribution, lookback, etc.
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### Don'ts
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- **Don't rely on VaR alone** - Underestimates tail risk
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- **Don't assume normality** - Returns are fat-tailed
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- **Don't ignore correlation** - Increases in stress
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- **Don't use short lookbacks** - Miss regime changes
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- **Don't forget transaction costs** - Affects realized risk
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