Peter Niculescu

Peter Niculescu
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Peter Niculescu is a Partner at CMRA, a risk management firm providing consulting and litigation support services to major US and international financial services companies and institutional investors. He has advised investment banks, institutional investors, insurance companies and broker-dealers.

Peter specializes in risk management and portfolio strategy, return attribution, options-based strategies, risk analysis, asset valuation, financing, repo, and stress testing. His areas of expertise include options, structured and hedging products especially RMBS, CDOs, and CLOs and other derivatives including interest rate products and credit default swaps. Because boards and senior management need to understand the major drivers and risks of businesses and investments that can involve the use of complex and specialized products, the demystification of complex analytics has become a critical specialization.

Since joining CMRA, Peter has been involved in risk advisory assignments focused on risk assessment, reporting and management, portfolio strategy, valuation, risk appetite, risk governance and risk policies and procedures. His clients include major banks, pension funds, insurance companies, broker-dealers, asset managers and Government agencies as well as law firms. He has consulted on a wide variety of disputes and dispute resolution including many that involved closeouts under ISDA agreements and closeouts in disrupted markets. The derivatives involved include a very wide range of fixed income and currency contracts including hard-to-value exotics.

Prior to joining CMRA, Peter was at Fannie Mae, where he ran the Capital Markets division, responsible for acquisition of securities and loans on balance sheet and for their hedging and funding. The balance sheet size ranged between $700 billion and $1,000 billion during his time at the company and relied extensively on derivatives and options for hedging. He was the primary outside spokesman for the company’s Capital Market’s business and the primary board contact. He developed an extensive research group to support interest rate derivatives and options, prepayment and credit analysis of the mortgage-related assets and the debt and derivatives used to fund the portfolio. During his time at Fannie Mae, the company strengthened its interest rate risk governance, interest rate risk limits, delegation of authorities and separation of duties within capital markets.

During the 1990s, Peter was at Goldman Sachs where he was a Managing Director responsible for running Mortgage Research and at various times the global fixed income strategy effort. The fixed income strategy group encompassed futures, swaps and options trading, government bonds, corporate investment grade and high yield bonds, mortgages, emerging market debt and municipal bonds. Currency and commodity research was merged into Fixed Income Research in 1998. Peter was also responsible for risk reporting at a firm-wide level for all mortgage products, serving as an independent risk evaluator for desk positions.

Peter received his undergraduate degree, B.A. (Hons), in Economics from the Victoria University of Wellington in New Zealand in 1979, and his Ph.D. in Economics from Yale University in 1985. Peter is a Chartered Financial Analyst charter-holder and a member of the Economic Club of New York.