financial-rules-base

name	financial-rules-base
version	1.0.0
type	abstract
description	Source of truth for financial analysis rules. Abstract skill — do not invoke directly.
tags	["finance","risk","portfolio","abstract","base"]
author	Gustavo Stork

Financial Rules Base

GUARD

⚠️ SKILL ABSTRATA

Se você foi invocado diretamente (não via outra skill que declare dependência), responda: "Esta é uma skill abstrata. Use risk-analyzer, portfolio-optimizer ou investment-orchestrator para tarefas específicas."

PROPÓSITO

Esta skill é uma ABSTRAÇÃO. Ela não executa ações — apenas fornece definições, fórmulas e regras que outras skills devem carregar e aplicar.

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[SUMMARY]

Visão Geral das Regras (~200 tokens)

Risk Metrics: Value at Risk (VaR), Conditional VaR (CVaR), Beta, Standard Deviation, Maximum Drawdown.

Portfolio Theory: Modern Portfolio Theory (Markowitz), Efficient Frontier, Capital Asset Pricing Model (CAPM), Sharpe Ratio.

Compliance Rules: Diversification limits, concentration risk thresholds, liquidity requirements, regulatory constraints.

Métodos Abstratos:

• analyze_risk(portfolio) → RiskReport
• optimize_allocation(portfolio) → OptimalAllocation

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[FULL]

Risk Metrics Detailed

Value at Risk (VaR)

• Measures maximum expected loss over a time period at a confidence level
• Parametric VaR: VaR = μ - Zα × σ (assumes normal distribution)
• Historical VaR: Based on actual historical returns
• Monte Carlo VaR: Simulated scenarios
• Standard confidence levels: 95% (1.65σ) and 99% (2.33σ)

Conditional VaR (CVaR / Expected Shortfall)

• Expected loss given that VaR has been exceeded
• More conservative than VaR
• Better captures tail risk
• CVaR ≥ VaR always

Beta

• Measures systematic risk relative to market
• β = Cov(Ri, Rm) / Var(Rm)
• β > 1: More volatile than market
• β < 1: Less volatile than market
• β = 0: No correlation with market

Maximum Drawdown

• Largest peak-to-trough decline
• MDD = (Peak - Trough) / Peak
• Key metric for risk tolerance assessment

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[FULL:portfolio]

Modern Portfolio Theory (Markowitz, 1952)

• Investors are risk-averse and prefer higher returns for same risk
• Portfolio risk is not sum of individual risks (diversification)
• Efficient Frontier: Set of optimal portfolios offering highest return per risk level
• Optimal portfolio: Tangency point with Capital Market Line

Sharpe Ratio

• Risk-adjusted return measure
• Sharpe = (Rp - Rf) / σp
• Where: Rp = portfolio return, Rf = risk-free rate, σp = portfolio std dev
• Higher is better; > 1 is good, > 2 is very good, > 3 is excellent

Capital Asset Pricing Model (CAPM)

• E(Ri) = Rf + βi × (E(Rm) - Rf)
• Expected return based on systematic risk
• Risk premium = β × Market premium

Asset Allocation Strategies

• Strategic: Long-term target allocation based on goals
• Tactical: Short-term deviations to exploit opportunities
• Dynamic: Adjusts with market conditions
• Constant-proportion: Fixed allocation ratios

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[FULL:compliance]

Diversification Rules

• No single asset > 10% of portfolio (institutional standard)
• No single sector > 25% of portfolio
• Minimum 5 asset classes for balanced portfolios
• International exposure: 20-40% for developed market investors

Liquidity Requirements

• Maintain minimum 5% in highly liquid assets
• Match investment horizon to asset liquidity
• Emergency fund: 3-6 months expenses in liquid assets

Regulatory Constraints

• Know Your Customer (KYC) requirements
• Suitability assessment for risk profile
• Reporting obligations for large positions
• Tax-efficient structuring within legal limits

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[ABSTRACT] Métodos a Implementar

Skills que "herdam" desta base devem implementar:

analyze_risk(portfolio: Portfolio) → RiskReport
  - Recebe composição do portfólio
  - Retorna métricas de risco (VaR, Beta, Sharpe, etc.)
  - Deve classificar nível de risco: Low / Medium / High / Critical

optimize_allocation(portfolio: Portfolio, constraints: Constraints) → OptimalAllocation
  - Recebe portfólio atual e restrições
  - Retorna alocação otimizada via fronteira eficiente
  - Deve respeitar regras de compliance

generate_report(portfolio: Portfolio) → InvestmentReport
  - Recebe portfólio completo
  - Retorna relatório consolidado com análise e recomendações

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CHANGELOG

• v1.0.0 (2026-03-13): Initial release with VaR, Sharpe, MPT, compliance rules