home / skills / sickn33 / antigravity-awesome-skills / risk-metrics-calculation

risk-metrics-calculation skill

This skill helps you measure portfolio risk with VaR, CVaR, Sharpe, drawdown analysis and risk-adjusted insights for dashboards and limits.

This is most likely a fork of the risk-metrics-calculation skill from openclaw

npx playbooks add skill sickn33/antigravity-awesome-skills --skill risk-metrics-calculation

Review the files below or copy the command above to add this skill to your agents.

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SKILL.md

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---
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.

## Use this skill when

- Measuring portfolio risk
- Implementing risk limits
- Building risk dashboards
- Calculating risk-adjusted returns
- Setting position sizes
- Regulatory reporting

## Do not use this skill when

- The task is unrelated to risk metrics calculation
- You need a different domain or tool outside this scope

## Instructions

- Clarify goals, constraints, and required inputs.
- Apply relevant best practices and validate outcomes.
- Provide actionable steps and verification.
- If detailed examples are required, open `resources/implementation-playbook.md`.

## Resources

- `resources/implementation-playbook.md` for detailed patterns and examples.

Overview

This skill calculates core portfolio risk metrics—Value at Risk (VaR), Conditional VaR (CVaR/Expected Shortfall), Sharpe and Sortino ratios, and drawdown analysis—to quantify downside exposure and risk-adjusted performance. It is implemented in Python and designed for integration into risk dashboards, limit systems, and portfolio analytics pipelines. The outputs are numeric metrics and time-series summaries ready for reporting or automated checks.

How this skill works

Given portfolio returns, positions, or simulated P&L paths, the skill computes VaR and CVaR using historical, parametric (variance-covariance), or Monte Carlo methods. It also computes Sharpe and Sortino ratios from realized returns and performs drawdown detection (peak-to-trough, max drawdown, drawdown duration). Results include point estimates, confidence intervals where applicable, and diagnostic checks for model assumptions.

When to use it

Measuring tail risk for daily or intraday portfolios
Implementing and monitoring regulatory or internal risk limits
Building risk dashboards or automated alerting systems
Sizing positions based on targeted risk budgets
Comparing risk-adjusted performance across strategies

Best practices

Validate input returns for quality: handle missing data and outliers before calculation
Choose VaR method to match distributional assumptions (historical vs parametric vs Monte Carlo)
Report both VaR and CVaR to capture tail severity, not just quantile thresholds
Use rolling windows and stress scenarios to track metric stability over time
Complement point estimates with backtests and coverage tests to validate models

Example use cases

Compute 1-day 99% VaR and CVaR for a multi-asset portfolio using historical returns
Automate daily risk limit checks and trigger alerts when VaR breaches thresholds
Compare Sharpe and Sortino ratios across strategies to favor downside-protected returns
Generate a drawdown report (max drawdown, recovery time) for monthly performance reviews
Run Monte Carlo P&L simulations to estimate capital requirements under stress

FAQ

Which VaR method should I use?

Use historical VaR when you trust observed return history, parametric VaR for speed when returns are near-normal, and Monte Carlo when you need scenario flexibility or non-linear exposures.

How is Sortino different from Sharpe?

Sortino uses downside deviation (negative returns) instead of total volatility, so it penalizes harmful volatility and better reflects downside risk-adjusted performance.