Financial Risk Engine

Institutional Portfolio Risk Simulator
An interactive portfolio risk analytics platform built in Python and Streamlit for Monte Carlo simulation, stress testing, risk attribution, and mean-variance optimization.

Live App

https://financial-risk-engine-lrmaf4egwyhpoyrw7ivtmw.streamlit.app/

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Overview

This Financial Risk Engine is a portfolio analytics tool designed to simulate portfolio performance under uncertainty and evaluate downside risk using industry-standard metrics sourced online.

The project uses a Monte Carlo simulation, measures tail risk with Value at Risk and Expected Shortfall, evaluates stress scenarios, decomposes asset-level risk contributions, and computes optimized portfolios.

Features

Core Risk Simulation

• Correlated Monte Carlo portfolio simulation
• Simulated portfolio path generation
• Terminal return distribution analysis
• Maximum drawdown estimation

Risk Metrics

• Expected return
• Volatility
• VaR (95% and 99%)
• Expected Shortfall
• Probability of loss
• Maximum drawdown
• Sharpe ratio

Stress Testing

Preset macro scenarios including:

• Baseline
• Market crash
• Rate spike
• Inflation shock
• Tech correction
• Energy shock

Risk Attribution

• Marginal risk contribution
• Component risk contribution
• Percentage contribution to total portfolio risk

Scenario Analysis

• Multi-scenario comparison table
• Risk metric comparison across scenarios

Portfolio Optimization

• Minimum variance portfolio
• Maximum Sharpe portfolio
• Efficient frontier generation

Interactive Dashboard

Built with Streamlit for:

• portfolio input controls
• simulation parameter selection
• scenario selection
• optimization analysis
• dynamic charts and tables

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Example portfolio:

• 40% Equities
• 30% Bonds
• 20% Tech
• 10% Crypto

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Language

• Python

Core Libraries

• NumPy
• pandas
• SciPy
• matplotlib
• Plotly
• Streamlit
• pytest

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Repository Structure

financial-risk-engine/
├── app/
│   └── streamlit_app.py
├── data/
│   ├── sample_asset_data.csv
│   ├── sample_correlation_matrix.csv
│   └── sample_portfolios.csv
├── notebooks/
│   └── exploratory_analysis.ipynb
├── outputs/
│   ├── figures/
│   └── tables/
├── src/
│   ├── __init__.py
│   ├── portfolio.py
│   ├── simulation.py
│   ├── risk_metrics.py
│   ├── scenarios.py
│   ├── visualization.py
│   ├── validation.py
│   ├── utils.py
│   ├── risk_contribution.py
│   ├── scenario_analysis.py
│   └── optimization.py
├── tests/
│   ├── test_portfolio.py
│   ├── test_simulation.py
│   ├── test_risk_metrics.py
│   ├── test_scenarios.py
│   ├── test_risk_contribution.py
│   ├── test_scenario_analysis.py
│   └── test_optimization.py
├── config.py
├── conftest.py
├── requirements.txt
├── runtime.txt
└── README.md