Individual skill
risk-analysis
Risk measurement and stress testing — VaR/CVaR/max drawdown calculation, Monte Carlo simulation, extreme-value tail-risk analysis, and historical scenario stress testing.
agent/src/skills/risk-analysis/SKILL.md
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- backtesting Repository topic
- multi-agent Repository topic
- quantitative-finance Repository topic
- trading Repository topic
- ai-agent Repository topic
- algorithmic-trading Repository topic
- fintech Repository topic
- llm Repository topic
- mcp Repository topic
- python Repository topic
- testing Derived category
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# Risk Measurement and Stress Testing
## Overview
Systematic risk-measurement methodology covering VaR/CVaR calculation, Monte Carlo simulation, stress-test design, and tail-risk analysis. It provides risk evaluation for backtest results and risk-control constraints for asset allocation.
The measures below are implemented once, with tests, in `src/quantlib/risk.py`. Call them; do not retype the formulas, because a hand-retyped VaR is where the sign convention silently flips.
```python
from src.quantlib.risk import (
historical_var, parametric_var, historical_cvar,
max_drawdown_analysis, monte_carlo_gbm, analyze_mc_results, fit_gpd_tail,
)
```