risk-metrics-calculation

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. 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