Risk Metrics Calculation Agent Skill

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.

5k tokens

context cost

the whole folder, loaded on every use

files

instructions only

copies elsewhere

how many repositories repackaged it

38452

stars on the repo

on the repository, not the skill itself

Install

one command, takes just this skill from the repository

npx skills add https://github.com/wshobson/agents --skill risk-metrics-calculation

The instruction itself

9 sections, as written by the author

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

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How to use it

Copy the folder

Take wshobson/risk-metrics-calculation from the repository into ~/.claude/skills for personal use, or into .claude/skills inside a project.

Check the name does not clash

The agent identifies a skill by the name field in its header. Two skills with the same name cannot sit side by side — one of them will be ignored.