kavi-lin/tail-risk-analyzer
skills/tail-risk-analyzer/SKILL.md
Quantifies tail risk / fragility for a single ticker using 1-year daily returns. Computes excess kurtosis, skewness, VaR95, max drawdown, and maps to a fragility label (ROBUST/MODERATE/FRAGILE). Use in sector protocol Phase 4b Devil's Advocate (top-3 HOT sectors) and investment protocol Phase 4 Step 3 (per-stock fragility → position sizing).
development
Updated Apr 25, 2026
$ install --global
skillsauthnpx skillsauth add kavi-lin/stock tail-risk-analyzerInstall this skill globally with one command. Works with Claude Code, Cursor, and Windsurf.
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SKILL.md
- name:
- tail-risk-analyzer
- description:
- Quantifies tail risk / fragility for a single ticker using 1-year daily returns. Computes excess kurtosis, skewness, VaR95, max drawdown, and maps to a fragility label (ROBUST/MODERATE/FRAGILE). Use in sector protocol Phase 4b Devil's Advocate (top-3 HOT sectors) and investment protocol Phase 4 Step 3 (per-stock fragility → position sizing).
- market:
- market-agnostic
- scope:
- single-ticker
- data_sources:
- [yfinance]
Tail Risk Analyzer
Purpose
Provides quantitative fragility evidence for any ticker (stock or ETF). Used by:
- Sector Phase 4b — proxy ETF tail risk challenges hot sector (top 3 by composite)
- Investment Phase 4 Step 3 — per-stock fragility multiplies position sizing
Usage
python3 skills/tail-risk-analyzer/scripts/tail_risk.py NVDA
python3 skills/tail-risk-analyzer/scripts/tail_risk.py XLK --json-only
python3 skills/tail-risk-analyzer/scripts/tail_risk.py SPY --lookback 2y
Output schema
{
"ticker": "NVDA",
"generated_at": "ISO8601",
"lookback": "1y",
"excess_kurtosis": "float (> 3 is fat-tailed vs normal)",
"skewness": "float (negative = left-tailed / crash risk)",
"var_95": "float — daily loss exceeded 5% of days (pct)",
"max_drawdown": "float pct",
"ann_vol": "float pct",
"downside_deviation": "float pct",
"tail_risk_score": "0-100 (higher = more fragile)",
"fragility_label": "ROBUST | MODERATE | FRAGILE",
"position_multiplier": "1.0 | 0.75 | 0.5 — applied to base position size"
}
Fragility mapping
Score is weighted: excess_kurt (30%) + |neg skew| (20%) + VaR95 (20%) + max_DD (20%) + vol (10%).
tail_risk_score < 35→ ROBUST → multiplier 1.035 ≤ score < 65→ MODERATE → multiplier 0.75score ≥ 65→ FRAGILE → multiplier 0.5
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