quant_risk
Calculate financial risk metrics including Value at Risk, Conditional VaR, GARCH volatility, maximum drawdown, skewness, and kurtosis for given tickers over specified date ranges.
Instructions
Pre-computed risk metrics (VaR, CVaR, GARCH volatility, max drawdown, skewness, kurtosis). Requires tickers='AAPL' — use comma-separated values for multiple tickers. Does NOT support period='daily'; use weekly, monthly, quarterly, or yearly instead.
Available indicators: get_conditional_value_at_risk, get_entropic_value_at_risk, get_garch, get_garch_forecast, get_kurtosis, get_maximum_drawdown, get_skewness, get_ulcer_index, get_value_at_risk.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| indicator | Yes | Name of the specific metric to calculate, e.g. 'get_asset_turnover_ratio'. Required — omitting it returns the list of available indicators. | |
| tickers | No | Comma-separated ticker symbols, e.g. 'AAPL,MSFT,GOOGL'. | |
| start_date | No | Start of the date range in YYYY-MM-DD format. | 2021-06-22 |
| end_date | No | End of the date range in YYYY-MM-DD format. | 2026-06-21 |
| quarterly | No | Return quarterly data instead of annual when True. | |
| benchmark_ticker | No | Ticker used as the market benchmark, e.g. 'SPY' or '^GSPC'. | SPY |
| period | No | Observation frequency, e.g. 'monthly', 'quarterly', or 'annual'. | |
| alpha | No | Value for alpha. | |
| within_period | No | Value for within_period. | |
| rounding | No | Number of decimal places to round results to. | |
| growth | No | Return period-over-period growth rates instead of absolute values. | |
| lag | No | Number of periods to lag when computing growth rates. | |
| distribution | No | Value for distribution. | historic |
| time_steps | No | Value for time_steps. | |
| optimization_t | No | Value for optimization_t. | |
| fisher | No | Value for fisher. | |
| rolling | No | Value for rolling. |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
| result | Yes |