RiskModels

Skills

5 in the Claude listing

• Cost of capitalCompute a CAPM cost of equity, strict reported-data cost of debt / book-weight WACC, a separately labeled PIT-lagged high-quality-market proxy when strict debt cost is unavailable, and equity-charge e
• Fundamentals pitPull point-in-time quarterly fundamentals for a US equity — a row is visible only if its filing date is on or before the as-of date, so backtests never see numbers that had not been filed yet.
• Portfolio hedgeBuild ETF hedge legs for a single position or a multi-name portfolio from the ERM3 cascade — scale the market / sector / subsector hedge ratios to dollar notionals and aggregate the ETF legs, or dispa
• Residual screenRank a US stock against its sector and the universe on factor and residual-risk metrics, run a cross-sectional percentile/decile screen, or pull the aggregate L3 residual mean-reversion (Lstar) signal
• Risk decomposeDecompose a US stock's risk into market, sector, subsector, and stock-specific (residual/idiosyncratic) components using the RiskModels ERM3 cascade (L1/L2/L3), with the tradeable ETF hedge ratios eac