longbridge-risk-analysis

longbridge-risk-analysis

Prompt-only analysis skill. Fetches price history and account positions to compute portfolio risk metrics (VaR, CVaR, max drawdown, Sharpe, Calmar) and runs historical scenario stress tests.

Response language: match the user's input language — Simplified Chinese / Traditional Chinese / English.

When to use

• "帮我做风险分析" / "風險分析" / "run a risk analysis on my portfolio"
• "计算 VaR" / "計算 VaR" / "calculate VaR"
• "最大回撤是多少" / "最大回撤" / "what is the max drawdown"
• "夏普比率分析" / "夏普比率" / "Sharpe ratio analysis"
• "压力测试一下" / "壓力測試" / "run a stress test"
• "如果2008年金融危机再来，我的组合会损失多少" / "historical scenario stress test"

Workflow

1. Fetch current positions (if logged in) or use user-specified symbols.
2. Fetch 252-day daily price history for each symbol concurrently.
3. Compute portfolio daily return series (weighted by current/equal weights).
4. Calculate risk metrics and run scenario analyses.
5. Present a structured risk report.

CLI

Run longbridge <subcommand> --help to verify exact flags before calling.

# Current positions (if logged in)
longbridge portfolio --format json
longbridge positions --format json

# 252-day daily price history per symbol (run concurrently)
longbridge kline <SYMBOL> --period day --count 252 --format json

Calculations

Core Risk Metrics

| Metric | Method | |---|---| | Historical VaR (95%) | 5th percentile of 252-day daily portfolio return distribution | | Historical VaR (99%) | 1st percentile of same distribution | | Parametric VaR (95%) | μ − 1.645σ (assuming normal distribution; annualised → daily) | | CVaR / Expected Shortfall (95%) | Mean of returns below VaR(95%) threshold | | Max Drawdown | max peak-to-trough decline over the 252-day window | | Sharpe Ratio | (Annual return − 4% risk-free) ÷ Annual volatility | | Calmar Ratio | Annual return ÷ |Max Drawdown| | | Volatility (ann.) | Daily return std × √252 |

Historical Scenario Stress Tests

Approximate the impact of each scenario on the portfolio by applying historically-observed drawdowns as a proxy. State clearly that these are illustrative estimates based on past market events.

| Scenario | Reference period | Typical equity drawdown | |---|---|---| | 2008 GFC | Sep 2008 – Mar 2009 | S&P 500 −57% | | 2020 COVID crash | Feb 2020 – Mar 2020 | S&P 500 −34% | | 2022 rate-hike cycle | Jan 2022 – Oct 2022 | S&P 500 −25%; Nasdaq −35% | | 2015 A-share crash | Jun 2015 – Aug 2015 | CSI 300 −45% |

Apply sector beta adjustments where data allows; otherwise use index drawdown × portfolio beta (estimated from 60-day regression against benchmark).

Output template

Portfolio Risk Analysis — Source: Longbridge Securities
Analysis window: 252 trading days  Date: <today>

[Risk Metrics]
- Daily VaR (95%, historical): <N>%   (1-day loss not exceeded 95% of the time)
- Daily VaR (99%, historical): <N>%
- CVaR / Expected Shortfall (95%): <N>%
- Max Drawdown (1yr): <N>%  (peak: <date> → trough: <date>)
- Annualised Volatility: <N>%
- Sharpe Ratio (rf=4%): <N>
- Calmar Ratio: <N>

[Scenario Stress Tests]
Scenario             Estimated Portfolio Loss   Notes
2008 GFC             −<N>%  (~$<X>)            Based on −57% S&P draw; beta adj.
2020 COVID           −<N>%  (~$<X>)            Based on −34% S&P draw
2022 Rate-hike       −<N>%  (~$<X>)            Based on −25% S&P draw
2015 A-share crash   −<N>%  (~$<X>)            Applies if holding A-shares

[Risk Summary]
- Tail risk level: {Low / Medium / High}
- Largest risk contributor: <symbol> (<N>% of portfolio risk)
- Key concern: <observation>

⚠️ 风险指标基于历史数据估算，不预测未来损失。/ 風險指標基於歷史數據估算，不預測未來損失。/ Risk metrics are historical estimates and do not predict future losses.

Error handling

| Situation | 简体回复 | 繁體回復 | English reply | |---|---|---|---| | command not found: longbridge | 回退到 MCP；若也不可用，请安装 longbridge-terminal | 回退到 MCP；若也不可用，請安裝 longbridge-terminal | Fall back to MCP; if unavailable, install longbridge-terminal. | | stderr not logged in | 未登录，请提供要分析的标的列表 | 未登入，請提供要分析的標的列表 | Not logged in — please provide symbol list to analyse. | | Price history < 60 days | 数据不足，降级为近60日风险估算，结果可信度较低 | 數據不足，降級為近60日風險估算 | Insufficient history; results may be less reliable. | | Single-asset portfolio | 无法计算分散化效益，仅显示单资产指标 | 無法計算分散化效益，僅顯示單資產指標 | Single asset — cannot compute diversification benefit. |

MCP fallback

If longbridge CLI is not installed, use MCP tools:

When the CLI is unavailable, fall back to the MCP server. Discover available tools from the MCP server's tool list at runtime — do not rely on hardcoded tool names.

MCP setup: claude mcp add --transport http longbridge https://openapi.longbridge.com/mcp (quote scope; trade_read for account data).

Related skills

• Portfolio health-check → longbridge-portfolio-diagnosis
• Asset allocation frameworks → longbridge-asset-allocation
• Portfolio rebalancing → longbridge-portfolio-rebalance

File layout

longbridge-risk-analysis/
└── SKILL.md          # prompt-only, no scripts/