Market Risk Analyzer

Calculates key market risk metrics and recommends optimal position sizes using historical data analysis.

Overview

This skill analyzes market risk using historical price data to calculate Value at Risk (VaR), volatility metrics, maximum drawdown, Sharpe ratios, and optimal position sizing. Provides actionable insights for managing investment risk and optimizing portfolio allocation. Uses four specialized Python scripts for data preparation, risk analysis, position sizing, and report generation.

Prerequisites

Tools: Read, Write, Bash, Glob, Grep

Environment: Optional NIXTLA_TIMEGPT_API_KEY for volatility forecasting (not required for core analysis)