value-at-risk-calculator

# Value at Risk Calculator ## Overview The Value at Risk Calculator skill provides comprehensive capabilities for calculating VaR and related risk metrics using multiple methodologies. It supports financial risk assessment, operational risk quantification, and regulatory compliance through parametric, historical, and simulation-based approaches. ## Capabilities - Historical simulation VaR - Parametric VaR (variance-covariance) - Monte Carlo VaR - Conditional VaR (CVaR/Expected Shortfall) - Incremental and component VaR - Stress testing - Backtesting and validation - Regulatory reporting support ## Used By Processes - Monte Carlo Simulation for Decision Support - Risk Assessment - Decision Quality Assessment ## Usage ### Historical Simulation VaR ```python # Historical VaR configuration historical_var_config = { "method": "historical_simulation", "data": { "returns": portfolio_returns, # historical return series "period": "daily", "history_length": 252 # 1 year of trading days }, "confidence_levels": [0.95, 0.99], "holding_period": 1, # days "options": { "age_weighting": { "enabled": True, "decay_factor": 0.97 } } } ``` ### Parametric VaR ```python # Parametric (variance-covariance) VaR parametric_var_config = { "method": "parametric", "portfolio": { "positions": { "Asset_A": {"value": 1000000, "weight": 0.4}, "Asset_B": {"value": 75...