Risk Metrics Calculation

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.

Install to Claude Code

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