Portfolio Risk Overlay Framework

Developed a comprehensive risk overlay system that provides real-time portfolio risk decomposition, scenario analysis, and automated hedging recommendations. The framework integrates with existing trading systems to enforce risk limits and generate alerts when exposures breach predefined thresholds.

Risk Decomposition

The framework decomposes portfolio risk across multiple dimensions: factor exposures (market, sector, style), Greeks for options positions, and liquidity risk scoring. Risk is measured using both parametric and historical simulation approaches, with stress testing against a curated set of historical and hypothetical scenarios.

Monitoring & Alerts

A real-time dashboard displays current exposures, P&L attribution, and risk limit utilization. The alert system monitors a configurable set of risk metrics and triggers notifications when thresholds are approached or breached. All alerts include contextual information to support rapid decision-making.

Hedging Engine

The hedging module recommends optimal hedge portfolios using a cost-aware optimization framework. It considers transaction costs, margin requirements, and hedge effectiveness when proposing trades. Recommendations are generated both on a scheduled basis and in response to threshold-breaching events.

Reporting & Attribution

Automated daily and weekly risk reports provide performance attribution at the strategy, asset class, and factor level. The reporting module tracks how risk budgets are consumed over time and highlights concentration risks. All reports are generated in standardized formats suitable for internal review and compliance documentation.