risk-metrics-calculation - Calculate Portfolio Risk Metrics
Calculates portfolio risk metrics including VaR, CVaR, Sharpe, Sortino, volatility, and drawdown statistics.
Tags
Updated: 2026-10-05Capabilities
Typical Inputs
Typical Outputs
What this skill does
- Calculate volatility metrics
- Calculate VaR and CVaR
- Analyze portfolio drawdowns
- Calculate risk-adjusted returns
- Calculate portfolio risk contributions
- Calculate risk parity weights
- Compare benchmark performance
- Generate risk summaries
Inputs
- Periodic return series
- Asset return DataFrame
- Market return series
- Benchmark return series
- Portfolio weights
- Annual risk-free rate
- Confidence levels
- Metric thresholds
Outputs
- Risk metric values
- Drawdown series
- Drawdown duration statistics
- Portfolio risk contributions
- Risk parity weights
- Comprehensive risk summary
Requirements
- Python environment
- NumPy
- pandas
- SciPy