Risk Management System
A real-time risk system that runs alongside the trading engine. It models tail risk using EVT/GPD, decomposes portfolio exposures into factors, detects correlation crises, and enforces hard limits with circuit breakers and pre-trade blocks.
TECH STACK
The Problem
Risk systems usually run as alerts, not as gates. By the time you get the notification, the loss has already happened. I wanted blocking checks — risk that says no before the trade goes out.
The Approach
Built blocking pre-trade checks that sit in the order path. Every trade is evaluated against the live risk model before it can leave the system. Circuit breakers halt trading on threshold breach.
Key Features
Tail Risk Modeling
EVT and GPD models estimate tail behavior beyond what historical data shows.
Factor Decomposition
Every position is decomposed into factor exposures so concentration risk is visible.
Correlation Crisis Detection
Detects regime shifts where correlations spike toward 1 — the moment diversification fails.
Multi-Layer Drawdown Protection
Six independent layers of drawdown protection. If one fails, the others catch it.