AgentSkillsCN

greek-scenario-risk-attribution

适用于在压力情景下，按delta、gamma、vega、theta以及更高阶效应分解期权簿损益的希腊情景风险归因工作流。当任务涉及期权风险的可解释性与情景治理时，可选用此类工作流。

SKILL.md
--- frontmatter
name: greek-scenario-risk-attribution
description: "Greek scenario risk attribution workflows for decomposing option-book pnl by delta, gamma, vega, theta, and higher-order effects under stress scenarios. use when tasks involve options risk explainability and scenario governance."

Greek Scenario Risk Attribution

objective

Attribute option risk and pnl under deterministic greek and scenario decomposition frameworks.

workflow

  1. •define greek hierarchy and scenario grid for the option book.
  2. •compute baseline and shocked greeks across nodes.
  3. •attribute pnl to greek buckets and residual unexplained components.
  4. •stress factor interactions under jump and skew scenarios.
  5. •publish attribution only after reconciliation and residual checks.

required diagnostics

  • •greek attribution completeness and residual error rate.
  • •scenario pnl explainability by factor bucket.
  • •nonlinear interaction contribution under stress.
  • •greek concentration and limit utilization trends.
  • •daily reconciliation between modeled and realized pnl.

risk controls

  • •enforce residual attribution tolerance limits.
  • •enforce scenario coverage standards for governance reviews.
  • •enforce escalation on repeated unexplained pnl.

outputs

  • •run python scripts/greek_scenario_risk_attribution_diagnostics.py input.csv --output diagnostics.json and keep the json artifact.
  • •write an implementation memo using references/greek-scenario-risk-attribution-playbook.md with assumptions, tests, limits, and rollout plan.

resources

  • •use scripts/greek_scenario_risk_attribution_diagnostics.py for deterministic diagnostics.
  • •use references/greek-scenario-risk-attribution-playbook.md for the domain checklist and delivery structure.