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Risk Metrics Calculation

wshobson/agents

Calculates the full suite of portfolio risk metrics you actually need for trading and risk management. Handles VaR (historical, parametric, and Cornish-Fisher), CVaR, drawdown analysis with duration tracking, and all the standard ratios like Sharpe, Sortino, and Calmar. The implementation is solid, accounting for skewness in distributions and providing proper annualization factors. Most useful when you're building risk dashboards, setting position limits, or need regulatory reporting numbers. The drawdown duration tracking is especially handy for understanding how long your portfolio stays underwater during rough periods.

skills.sh installs
11.4K
GitHub stars
42.4K
last updated
Aug 21, 2026
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Install

$ npx -y skills add wshobson/agents --skill risk-metrics-calculation --agent claude-code

Installs into .claude/skills of the current project.

Files

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

CategoryMetricsUse Case
VolatilityStd Dev, BetaGeneral risk
Tail RiskVaR, CVaRExtreme losses
DrawdownMax DD, CalmarCapital preservation
Risk-AdjustedSharpe, SortinoPerformance

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

SKILL.md on GitHub

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Details

Repository
github.com/wshobson/agents
Categories
DevOps & CI/CD, Finance & Trading

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