risk-metrics-calculation - Calculate portfolio risk metrics
Calculates portfolio volatility, VaR, CVaR, drawdowns, risk-adjusted returns, and portfolio-level risk contributions.
Tags
Updated: 2026-10-04Capabilities
Typical Inputs
Typical Outputs
What this skill does
- Calculate volatility metrics
- Calculate beta
- Calculate historical VaR
- Calculate parametric VaR
- Calculate Cornish-Fisher VaR
- Calculate CVaR
- Analyze drawdowns
- Calculate Sharpe ratio
- Calculate Sortino ratio
- Calculate Calmar ratio
- Calculate Omega ratio
- Calculate information ratio
- Calculate portfolio volatility
- Calculate risk contributions
- Calculate risk parity weights
- Generate risk summaries
Inputs
- Periodic return series
- Market return series
- Benchmark return series
- Portfolio return dataframe
- Portfolio weights
- Risk-free rate
- Confidence level
- Return threshold
Outputs
- Risk metric values
- Drawdown series
- Drawdown duration statistics
- Risk summary
- Portfolio risk contributions
- Risk parity weights
Requirements
- Python environment
- NumPy
- pandas
- SciPy