Individual skill
risk-modeling-guide
Financial risk modeling including VaR, stress testing, and credit risk
skills/domains/finance/risk-modeling-guide/SKILL.md
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# Risk Modeling Guide
A skill for quantitative financial risk modeling, covering Value at Risk, Expected Shortfall, credit risk, stress testing, and Monte Carlo simulation methods. Essential for financial engineering research and regulatory risk analysis.
## Market Risk: Value at Risk
### VaR Methodologies
| Method | Description | Pros | Cons |
|--------|-------------|------|------|
| Historical simulation | Replay past returns | No distributional assumption | Assumes past repeats |
| Variance-covariance | Assume normal returns | Fast, analytical | Underestimates tail risk |
| Monte Carlo simulation | Simulate from fitted model | Flexible distributions | Computationally expensive |
| Filtered historical simulation | GARCH + historical innovations | Captures volatility clustering | More complex |