Rory Kane

Market Risk Manager & Quantitative Trader

Risk manager and proprietary trader with experience across equities, options, bonds, and crypto markets. Currently focused on quantitative applications in trading and market analysis.

Open to opportunities and collaborations in quantitative finance, risk management, and algorithmic trading.

Featured Work

When Diversification Failed
Multi-dimensional crisis detection framework validated across 5 major market events. Explores whether adaptive regime detection could have identified the 2022 crypto crash early and tests the approach across different crisis types. 100% detection rate, 0 false positives.
Risk Management Quantitative Analysis Python Case Study
Portfolio Margin Calculator
Interactive tool demonstrating capital efficiency differences between Reg T and Portfolio Margin systems. Calculates margin requirements using both methodologies with stress testing across ±30% price moves to show how PM can reduce required capital by 30-50% while maintaining equivalent risk coverage.
Risk Management Margin Systems Interactive Tool JavaScript
VaR Calculator
Value at Risk (VaR) calculator implementing multiple methodologies including Historical Simulation, Variance-Covariance, and Monte Carlo simulation for portfolio risk assessment.
Risk Management Python Monte Carlo Open Source
Disclaimer: The views expressed on this site are my own and do not represent the views of my employer. This content is for educational purposes only and does not constitute investment advice or a recommendation to buy or sell any security.

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