Historical Risk

Quantifies how risky an asset or portfolio has actually been using historical data. You get volatility estimators ranging from simple close-to-close to the more sophisticated Yang-Zhang that uses OHLC data, plus drawdown analysis with max drawdown and recovery times, historical VaR pulled straight from the empirical distribution, and downside risk metrics like semi-variance and tracking error. The formulas are all here with worked examples. One thing to watch: these are all backward-looking measures, so you're assuming the past tells you something useful about risk, which works great until the regime changes. Pairs naturally with performance metrics since most risk-adjusted ratios need a volatility or drawdown number in the denominator.

Install to Claude Code

npx -y skills add joellewis/finance_skills --skill historical-risk --agent claude-code