risk-metrics-calculation - Calculate portfolio risk and performance metrics
Calculates volatility, VaR, CVaR, drawdowns, risk-adjusted returns, and portfolio risk contributions from return data.
Tags
Updated: 2026-10-05Capabilities
Typical Inputs
Typical Outputs
What this skill does
- Calculate volatility metrics
- Calculate historical VaR
- Calculate parametric VaR
- Calculate Cornish-Fisher VaR
- Calculate conditional VaR
- Analyze drawdowns
- Calculate Sharpe and Sortino
- Calculate portfolio risk contributions
Inputs
- Periodic return series
- Asset return DataFrame
- Annual risk-free rate
- Market return series
- Benchmark return series
- Portfolio weights
- Confidence level
Outputs
- Risk metric values
- Drawdown series
- Risk summary
- Portfolio risk contributions
- Portfolio volatility
Requirements
- Python environment
- NumPy package
- pandas package
- SciPy package