risk-metrics-calculation

Portfolio risk measurement with VaR, CVaR, Sharpe, Sortino, and drawdown analysis. Comprehensive risk measurement toolkit for portfolio management, including Value at Risk, Expected Shortfall, and drawdown analysis. - Covers 15+ risk metrics across volatility, tail risk, drawdown, and risk-adjusted return categories with parametric, historical, and Cornish-Fisher VaR methods - Includes rolling window analysis, portfolio-level calculations with marginal risk contribution and risk parity optimization, and stress testing against historical crises or hypothetical shocks - Supports Monte Carlo simulation with elevated volatility, correlation analysis during stress periods, and regime classification for dynamic risk monitoring - Provides complete drawdown tracking with duration statistics, beta calculation, and information ratio for benchmark comparison - Measuring portfolio risk - Implementing risk limits - Building risk dashboards - Calculating risk-adjusted returns - Setting position sizes - Regulatory reporting - 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't rely on VaR alone - Underestimates tail risk - Don't assume normality - Returns are fat-tailed - Don't ignore...