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Capital Market Risk Advisors

Derivatives

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CMRA clients settled their Allianz Structured Alpha litigation

Our Derivatives Experience

CMRA's principals has been involved on the front line of every facet of the derivatives business from trading to risk management to new product development to origination to documentation to legal issues since 1983.

Leslie Rahl was an early pioneer in derivatives. Her team "invented" the collar and the swaption as commercial products. She built and ran Citibanks's cap and collar business from 1983-1985 and co-headed Citibank's derivatives business in the US from 1986-1991. She was on the ISDA Board for 5 years and chaired the committee that drafted the original 1987 ISDA Agreement and the committee that created the ISDA market survey. She was profiled in both the 5th and 10th anniversary issues of Risk Magazine. She is on the Board and Risk Management Committee of CIBC. She is a member of the Board of Director's of the International Association of Financial Engineers (IAFE). She has been called the "Grandmother of Derivatives" and "The Red Adair" of Financial Engineering.

Partner Peter Niculescu was one of the largest users of interest rate derivatives to hedge Fannie Mae's  mortgage portfolio and was responsible for fixed income derivative research at Goldman Sachs. CMRA's MDs have extensive additional derivatives experience including specialization in synthetic CDOs and CDO squareds. Please see their profiles for more information.

CMRA provides consulting as well as expert/litigation services related to all types of derivatives.

Select Assignments in Derivatives

  • Assisted over 15 clients in the negotiation of derivatives-related bankruptcy claims with the Lehman estate

    • Advised top 10 derivatives dealer on Lehman derivatives claim before it was filed

  • Valued a wide range of derivatives and derivative-linked products, including:

    • Vanilla and exotic interest rate derivatives

    • Synthetic CDOs and CDO squareds

    •  Level 2 and Level 3 credit and mortgage derivatives

    • Credit indexes and credit index tranches

    • FX options and forwards

    • Commodity futures

    • Complex structured products

  • Expert witness engagements related to derivatives valuation, risk management, and closeout, including:

    • Valuation of exotic and complex derivatives

    •  Collateral calls and damages

    • Operational “Best Practices” for CDS

    • Interpretation of interdealer asset swap and repo agreements

    • Tax treatment of complex derivatives structure

  • Advised dealers, brokers, end-users, regulators and lawyers on both OTC and exchange-traded derivatives topics including:

    • Interpretation of ISDA Master Agreements and related Schedules

    • Building derivatives businesses, selling and exiting derivatives businesses, and creation of derivatives product companies

    • Developing derivatives guidelines for institutional investors

    • Pricing models and valuation for complex and exotic derivative structures

    • M&A transactions involving either complex investments and derivatives portfolios or exotic options embedded into transaction

    • Regulatory reviews of derivatives businesses and practices

Derivatives Under Fire X - IDD - May 2002

Around Wall Street, the potential for vilification of all derivatives is no small area of concern. “When there’s a car accident, “ asks risk management consultant Leslie Rahl, “do you blame the driver? Or do you blame the car?”

... few doubt that new derivatives abuses will sprout to replace them. Rahl, who runs Capital Markets Risk Advisors, says she’s not a big believer in rigid rules governing derivatives practices. “Those only encourage creative financial engineers to work around them,” she says.

May 20, 2002

New York Newsday - Jan. 1995

In the forbidding corner of the Wall Street jungle known as the derivatives markets, where the locals are known as hard-quants, rocket scientists or just plain nerds…Leslie Rahl is widely considered among the best of native guides for wary travelers.

January 19, 1995

Making a model - Grant’s Interest Rate Observer - August 1994

“What Red Adair is to oil and gas exploration, CMRA is to financial engineering."

August 12, 1994

 
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