Risk Dashboard

PHASE 2

VaR, CVaR, drawdowns, risk decomposition and stress tests for any portfolio.

Planned capabilities

›VaR and CVaR three ways: historical, parametric normal and Monte Carlo with a Student-t option.
›Drawdown table with peak, trough, recovery, depth and duration, plus an underwater chart.
›Sharpe, Sortino, Calmar, downside deviation, skewness and kurtosis.
›Rolling volatility and rolling VaR with an adjustable window.
›Marginal and component risk contributions per asset, and a correlation heatmap.
›Stress testing with custom shocks and presets for equity crashes, rate shocks and vol spikes.

Data readiness

datasets available in the workspace.

Status

This module is scaffolded and wired into the workspace. It will be built out in phase 2, using the shared math library and the datasets you generate or upload.