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Seth Hobson
2026-01-19 17:07:03 -05:00
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plugins/quantitative-trading/skills/risk-metrics-calculation/SKILL.md
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@@ -20,12 +20,12 @@ Comprehensive risk measurement toolkit for portfolio management, including Value
### 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 |
| 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
@@ -535,6 +535,7 @@ for metric, value in summary.items():
## 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
@@ -542,6 +543,7 @@ for metric, value in summary.items():
- **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