risk-metrics-calculation
計算 VaR、CVaR、Sharpe、Sortino 和 drawdown 等投資組合風險指標
中文翻譯
--- name: risk-metrics-calculation description: 計算投資組合的風險指標，包含 VaR、CVaR、Sharpe、Sortino 和 drawdown 分析。在衡量投資組合風險、實作風險限額或建構風險監控系統時使用。 --- # Risk Metrics Calculation 投資組合管理用的完整風險衡量工具箱，包含 Value at Risk、Expected Shortfall 和 drawdown 分析。 ## When to Use This Skill - 衡量投資組合風險 - 實作風險限額 - 建構風險儀表板 - 計算風險調整後報酬 - 設定部位大小 - 法規申報 ## Core Concepts ### 1. Risk Metric Categories | Category | Metrics | Use Case | | ----------------- | --------------- | -------------------- | | **Volatility** | Std Dev, Beta | 一般風險 | | **Tail Risk** | VaR, CVaR | 極端虧損 | | **Drawdown** | Max DD, Calmar | 資本保全 | | **Risk-Adjusted** | Sharpe, Sortino | 績效 | ### 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 詳細的 pattern 文件放在 `references/details.md`。上面這層導覽不夠用的時候，再去讀那個檔案。 ## Best Practices ### Do's - **用多種指標** - 沒有哪個單一指標能涵蓋所有風險 - **考慮尾部風險** - 只有 VaR 不夠，要用 CVaR - **做滾動分析** - 風險會隨時間改變 - **做壓力測試** - 歷史情境和假設情境都要 - **把假設寫成文件** - 分佈、回看期間等等 ### Don'ts - **不要只靠 VaR** - 它會低估尾部風險 - **不要假設常態分佈** - 報酬有肥尾 - **不要忽略相關性** - 壓力時相關性會上升 - **不要用太短的回看期間** - 會錯過市場狀態的轉變 - **不要忘了交易成本** - 它會影響實際承擔的風險
英文原文
--- name: risk-metrics-calculation description: 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. --- # 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