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Risk Management
Portfolio Risk Attribution System
ClientMutual Fund House
IndustryAsset Management
Duration4 months
Team3 engineers
Daily
Risk Updates
Automated daily risk calculation and reporting
15+
Risk Factors
Comprehensive factor exposure analysis
90%
Report Automation
Regulatory report automation
The Challenge
Fund managers lacked granular visibility into portfolio risk sources. Regulatory requirements for enhanced risk reporting were creating manual overhead.
Our Solution
Built a comprehensive risk attribution system calculating VaR, CVaR, factor exposures, and stress scenarios. Automated regulatory risk reports with complete audit trail.
Our Approach
1
Implemented parametric and historical VaR/CVaR calculations
2
Built factor risk model with market, sector, and style exposures
3
Created stress testing framework with historical and hypothetical scenarios
4
Automated SEBI risk reporting with data validation
5
Developed interactive risk dashboard for portfolio managers
Technology Stack
PythonNumPyPostgreSQLReactDocker
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