a-fund-monitor
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aAAaqwq/openclaw-team2Updated Jun 18, 2026
FreePublished on GitHub
risk-management
风险管理核心skill套件 — CVaR实时风控、动态仓位管理（风控版）。对标Bridgewater全天候策略、PIMCO风控体系的工程化实现。
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See how to installFiles included (3)
- SKILL.md2.0 KB
- cvar-guardian.md3.5 KB
- dynamic-position-sizing.md2.7 KB
SKILL.md (original)
Review the instructions the agent will receive before you install.
风险管理 Skill Suite
烛龙风控中台 — 对标全球顶级资管机构的风险控制体系
定位
与 skills/quant/ 联动，提供所有交易策略在实盘前的风控审查和实盘中的实时风控。
目录索引
| 文件 | 核心功能 | 对标机构 |
|---|---|---|
cvar-guardian.md | CVaR驱动的实时风控系统，逐笔监控+分级熔断 | Bridgewater, PIMCO |
dynamic-position-sizing.md | 风控视角的仓位分配，集中度/杠杆/相关性限制 | AQR, BlackRock |
风控流程图
策略信号 → position-sizing审核 → cvar-guardian实时监控 → 预警/熔断/强制平仓
↑ ↓ ↓ ↓
└── 归因分析 ←── 动态调仓 ←──── 压力测试循环 ──── 对冲执行
风控指标体系
| 指标 | 适用场景 | 触发阈值（例） |
|---|---|---|
| VaR (95%/99%) | 组合风险敞口 | 日VaR > 3% 预警 |
| CVaR/Expected Shortfall | 尾部风险 | CVaR > 5% 熔断 |
| 最大回撤 (MDD) | 策略健康度 | MDD > 20% 暂停 |
| Sharpe Ratio | 风险调整收益 | < 0.5 需优化 |
| Calmar Ratio | 回撤收益比 | < 1.0 降仓 |
| 杠杆倍数 | 总敞口控制 | > 3x 自动降杠杆 |
| 集中度 | 单一标的敞口 | > 20% 强制再平衡 |
| 相关性 | 策略间对冲效果 | > 0.7 减少重复敞口 |
交叉引用
skills/quant/— 因子挖掘、策略归因、压力测试、仓位管理（量化版）skills/risk-metrics-calculation/— VaR/CVaR计算 (社区skill)skills/risk-assessment/— 风险评估 (社区skill)skills/risk-management-playbook/— 风险管理手册 (社区skill)skills/risk-matrix/— 风险矩阵 (社区skill)
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