analyze_risk
Calculate portfolio risk metrics including Value at Risk (VaR) and Conditional VaR (CVaR) using correlation matrices and Monte Carlo simulations to assess financial exposure.
Instructions
Portfolio risk: VaR/CVaR with correlation matrices. Monte Carlo simulation.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| returns | Yes | Asset return series | |
| weights | Yes | Portfolio weights | |
| confidence | No | Confidence level (default: 0.95) |