# Risk Metrics Calculation

> 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.

Source: https://skillsagentes.com/skills/wshobson/agents/risk-metrics-calculation
Repository: https://github.com/wshobson/agents
Author: wshobson
License: MIT
Updated: hace 2 meses
Context cost: 48 tok installed, 502 tok once triggered, 4.7k tok with every bundled file
Bundle: 2 files, 18 KB
Permissions requested: none declared

## Install

```bash
npx -y skills add wshobson/agents --skill risk-metrics-calculation --agent claude-code
```

## What it does

- Calcula métricas de riesgo de cartera: VaR, CVaR, Sharpe, Sortino y análisis de drawdown
- Clasifica métricas por categoría: volatilidad, riesgo de cola, drawdown y rendimiento ajustado al riesgo
- Define horizontes temporales de análisis, desde intradía hasta anual
- Documenta patrones detallados y ejemplos trabajados en references/details.md

## Use it when

- Medir el riesgo de una cartera
- Implementar límites de riesgo
- Construir dashboards o sistemas de monitoreo de riesgo
- Calcular retornos ajustados al riesgo o definir tamaños de posición

## What triggers it

- "Calcula el VaR y CVaR de mi cartera"
- "Necesito el Sharpe y Sortino ratio de esta estrategia"
- "Ayúdame a construir un dashboard de riesgo con drawdown máximo y Calmar"

## Files

- SKILL.md — 2 KB
- references/details.md — 17 KB

## SKILL.md

Reproduced verbatim from wshobson/agents under MIT. This section is the upstream document and is in English.

# 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

---

Skills Agentes — https://skillsagentes.com/skills/wshobson/agents/risk-metrics-calculation