Capital Market Risk Advisors (CMRA), is the preeminent financial advisory firm specializing in risk management, hedge funds and derivatives.
CMRA provides institutional investors, funds of funds, hedge fund managers, mutual funds, traditional money managers, banks/investment banks, and law firms with consulting services including:
- Market, credit, operational and legal risk diagnosis
- Due diligence and manager selection
- Reviews of practices and best practices benchmarking
- Litigation support/financial forensics/expert witness
- Risk governance advisory and policy, procedure and guideline creation
- Risk Branding
- Board Presentations
- Board, Investor, and Fund Risk Management Education
- New product development
CMRA employees combine state-of-the-art technical and quantitative expertise with practitioner experience and knowledge.
Risk Management/Trading/Portfolio Management Experience
- Partners have managed $150B+ in derivatives business and a $1T in MBS portfolios
- In depth understanding of complex instruments and strategies.
- Experienced with establishing standards for transparency and disclosure.
- Experienced with identifying and resolving problematic situations, including but not limited to valuation issues, risk issues, trader issues, compliance issues, and operational issues.
- Extensive Market, Credit and Operational Risk Management experience.
- Extensive due diligence experience.
"Institutional" Client Expertise
- In-depth experience with institutional investors and their needs and practices including as a trustee serving on the Board of Directors of the MIT Investment Management Company (MITCO) and the Advisory Board of the $120 B New York State Common Retirement Board.
- Assisted Boards in creation of Risk Appetite and Risk Attitude Statements.
- Conducted risk governance survey of 140 financial institutions
- Experienced in running large ongoing businesses.
- Editor of "Risk Budgeting, A New Approach to Investing", published by Risk Books.
- Extensive speaking experience, including presentations to boards of directors.
- Experience serving on industry boards of directors and boards of advisors.
- Trained boards of several pension funds in risk management techniques.
- Reviewed risk management policies and practices for several endowments and funds and recommended improvements.
- Reviewed risk management policies and practices for the Board of Directors of a large non-US pension plan.
- Advised several public pension plans regarding effective use of risk management tools.
- Advised pension plan in risk management tool selection.
- Advised steering committee of 11 plan sponsors on "Risk Standards for Institutional Investors".
- Conducted several surveys of Institutional Investor attitude towards risk governance, risk transparency, etc.
Selected Fund of Funds Experience
- Provided M&A/due diligence support on fund of fund acquisition.
- Developed innovative guarantee structure for a fund of funds.
- Conducted due diligence on underlying hedge funds for many funds of funds.
- Commissioned by the prestigious Alternative Investment Management Association (AIMA) to prepare a research report on fund of funds vs. individual hedge fund investing.
Selected Hedge Fund Experience
- Conducted risk due diligence on hedge funds for a variety of plan sponsors.
- Provide monthly "fair value" opinions on an ongoing basis for technology hedge fund.
- Valued 100+ complex derivatives for the liquidation of a defaulted offshore hedge fund.
- Served as an expert witness in the Askin/Granite partners litigation.
- Advised the Federal Reserve Board of Governors on the risk management implications of LTCM.
- Provided valuations of illiquid positions for a global macro hedge fund.
- Designed and implemented a Value-at-Risk process for leading hedge fund.
- Author of "Hedge Fund Risk Transparency, Unraveling the Complex and Controversial Debate", published by Risk Books.
Selected Investment Manager Experience
- Advised Mutual Funds Directors Forum on "Risk Principals for Mutual Funds Directors".
- Advised Board of large mutual fund complex on CRO organization and charters for relevant committee.
- Advised Buy-Side Risk Managers Forum on "Risk Practices for Asset Managers".
- Valued a portfolio of complex instruments for a major insurance company planning and acquisition.
- Analyzed CDO's of large investment manager and recommended both structuring and risk management enhancements.
- Assisted several money managers in selecting risk systems.
- Reviewed risk management requirements for $100+ billion money management complex.
- Benchmarked risk management practices of fixed income investment managers.
- Reviewed split capital trusts and recommended restructuring alternatives.
Selected Regulatory / Financial Forensics / Litigation Experience
- Expert in a litigation related to the impact of the bailouts on solvency under ISDA Master Agreements of various vintages.
- Expert in a litigation related to margin calls, valuation, and events of default on a Total Return Swap on a bespoke portfolio of loans.
- Valued a portfolio of 200+ non-agency RMBS and provided an expert report in a regulatory investigation
- Expert in an ABCP litigation.
- Provided advice in several pre-litigation reviews of valuation of complex derivatives in bankruptcy.
- Expert in liquidation of large, MBS hedge fund.
- Expert on valuation of ABS/MBS portfolio that was liquidated.
- Expert on liquidation of 40K OTC derivatives in a bankruptcy.
- Valued complex structured products in counterparty bankruptcy for several SPV’s.
- Advised a major dealer on valuations of over 40K level 2 and level 3 credit and mortgage derivatives in a counterparty bankruptcy.
- Advised on interpretation of ISDA agreements of all vintages.
- Expert witness in operational "Best Practices" for CDS.
- Advised sovereign wealth fund in redemption valuation and other issues for an emerging market hedge fund.
- Advised on issues related to losses incurred in short duration bond fund.
- Under the orders from the Fed, the SEC, the OCC and the NY State Banking Commission, CMRA conducted a comprehensive review of the derivatives business of Bankers Trust from 1991-1994.
- Orange County engaged CMRA to analyze the circumstances surrounding unexpected collateral calls for an assessment of the impact on the overall portfolio and investment strategy.
- CMRA analyzed issues in several litigations related to margin calls and liquidations of MBS and emerging market hedge funds related to the 1994 & 1998 crises.
- CMRA provided expert analysis and report in a corporate pension dispute.
- A creditor committee engaged CMRA to assist in the unwind of a defaulting counterparty. CMRA professionals valued over 100 complex credit sensitive emerging market transactions in order to estimate fair market values.
- A fund engaged CMRA to assist in estimating damaged related to the unwind of a complex portfolio under ISDA and PSA / BMA / GRMA agreements.
- CMRA authored an expert report in litigation related to the Sumitomo trading scandal that analyzed Hamanaka's trading strategy.
- CMRA has provided training and advice to many US and non-US regulatory authorities.
Industry Best Practices Experience
- Advisor to Mutual Fund Directors Forum "Risk Principals for Funds Directors".
- Advisor to Buy Side Risk Managers Forum "Risk Principles for Asset Managers".
- Advisor to Risk Standards Working Group "Risk Standards for Institutional Investment Managers and Institutional Investors".
- Chair Investor Risk Committee of IAFE, addressing hedge fund transparency and valuation issues.
- Served on ISDA board, chaired 1987 documentation committee.
- Served on AIMA Hedge Fund Committee.
"Notches On Our Belt"
- Involved in identifying and "cleaning up" several major industry crisis events.
- Involved in developing industry best practices following crisis events, including:
- 2008 Financial Crisis
- Bankers Trust
- Orange County
- Money market funds that "broke the buck"
- Split capital trusts
- And others that will go nameless
- Extensive experience with valuation issues.
- Extensive experience with derivatives disasters and hedge fund blow-ups.