risk-modeling-guide
Installation
SKILL.md
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 |