Risk Management

Risk Analysis Report

Portfolio downside assessment using value-at-risk, sensitivity analysis, volatility attribution, and stress testing to identify key exposures and recommend risk controls.

Project Snapshot

TypeRisk Report
FocusDownside Exposure
OutputInvestment Memo

95%

Confidence interval for VaR model

6

Stress scenarios across rates, FX, and equity beta

18%

Estimated drawdown under bear-case assumptions

Overview

The report evaluated a multi-asset portfolio exposed to equity market beta, interest rate changes, and currency volatility. The objective was to quantify downside risk and translate statistical outputs into practical risk management decisions.

Approach

Built a returns dataset, calculated rolling volatility, estimated historical VaR, tested factor sensitivities, and created downside cases around recessionary equity returns, rate shocks, and correlation breakdowns.

Key Insights

  • Portfolio drawdown risk was concentrated in high-beta equities despite apparent sector diversification.
  • Correlation increased materially in stressed market periods, reducing the effectiveness of passive diversification.
  • Rate-sensitive holdings created asymmetric downside when paired with widening credit spreads.

Business Impact

Recommended a clearer exposure limit framework, additional scenario reporting for investment committee reviews, and a hedge evaluation process tied to volatility thresholds rather than calendar timing.