riskAnalysisAssestment.js

//Calculate Risk Exposure to Factors:
function calculateRiskExposure(portfolioWeights, factorExposures) {
  // Calculate the risk exposure of the portfolio to different risk factors
  const riskExposure = portfolioWeights.map((weight, index) => {
    const factorExposure = factorExposures[index];
    return weight * factorExposure;
  });

  return riskExposure;
}
//Identify Concentration Risks:
function identifyConcentrationRisks(portfolioWeights, threshold) {
  // Identify concentration risks based on a specified threshold
  const concentratedAssets = [];

  for (let i = 0; i < portfolioWeights.length; i++) {
    if (portfolioWeights[i] >= threshold) {
      concentratedAssets.push(i);
    }
  }

  return concentratedAssets;
}

//Measure Sensitivity to Market Movements:
function measureSensitivity(portfolioReturns, marketReturns) {
  // Measure the sensitivity of the portfolio to market movements using regression analysis
  const regressionResults = performRegression(portfolioReturns, marketReturns);
  const sensitivity = regressionResults.slope;

  return sensitivity;
}

// I still need a comprehensive evaluation of various risk factors, including market risk, credit risk, liquidity risk, 
// and operational risk, among others, to obtain a holistic understanding of portfolio risk.
// To assess and quantify all types of risks in a comprehensive manner requires advanced models, data sources, and specific business context.

//Market Risk:
function calculateMarketRisk(portfolioReturns) {
  // Calculate portfolio volatility using standard deviation
  const portfolioVolatility = calculateVolatility(portfolioReturns);
  
  // Assess exposure to different market risk factors
  const equityRisk = calculateEquityRisk(portfolioReturns);
  const interestRateRisk = calculateInterestRateRisk(portfolioReturns);
  const currencyRisk = calculateCurrencyRisk(portfolioReturns);
  
  // Return the market risk assessment
  return {
    portfolioVolatility,
    equityRisk,
    interestRateRisk,
    currencyRisk
  };
}
//Credit Risk:
function assessCreditRisk(portfolioHoldings) {
  // Assess creditworthiness of individual securities
  const creditExposure = calculateCreditExposure(portfolioHoldings);
  
  // Estimate credit risk using credit ratings or credit default swap (CDS) data
  const defaultProbabilities = calculateDefaultProbabilities(creditExposure);
  const potentialLosses = calculatePotentialLosses(creditExposure);
  
  // Return the credit risk assessment
  return {
    defaultProbabilities,
    potentialLosses
  };
}
//Liquidity Risk:
function assessLiquidityRisk(portfolioHoldings) {
  // Evaluate liquidity of individual securities
  const liquidityScores = calculateLiquidityScores(portfolioHoldings);
  
  // Monitor bid-ask spreads, trading volumes, and market depth
  const bidAskSpreads = calculateBidAskSpreads(portfolioHoldings);
  const tradingVolumes = calculateTradingVolumes(portfolioHoldings);
  
  // Return the liquidity risk assessment
  return {
    liquidityScores,
    bidAskSpreads,
    tradingVolumes
  };
}
//Operational Risk:
function assessOperationalRisk(processes, systems, events) {
  // Identify potential operational risks and assign risk scores
  const processRisks = assessProcessRisks(processes);
  const systemRisks = assessSystemRisks(systems);
  const eventRisks = assessEventRisks(events);
  
  // Implement risk management practices to mitigate operational risk
  
  // Return the operational risk assessment
  return {
    processRisks,
    systemRisks,
    eventRisks
  };
}