Hedge fund


Quantitative consulting


The hedge fund client requested us to implement the VaR framework for their risk management and perform back testing with realized PnL along with implementing the platform for analysis of funds performance metrics and risks.

  • Hedge fund with over $10 Billion AUM
  • One of the leading hedge funds in the UK
  • Obtaining historical data time series for VaR analysis
  • Synchronization of various data sources used by the client in the past
Project Delivery
  • Our team implemented the storage of historical risk factor data and risk sensitivities from the main trading platform
  • We implemented the web platform for visual representation and analysis of historical time series of PnL and VaR repriced vectors
  • Our team implemented tools for hedge fund managers to run various fund performance metrics and set risk limit at various levels of granularities which would be monitored in real-time basis
  • Flexibility and Control
  • Quality Solution
  • In time and budget
  • Python
  • Pandas
  • Dash
  • PostgreSQL
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