Home > Services > Valuation of Complex, Illiquid Instruments

A Holistic Approach

CMRA has been a leader in promoting good valuation practices as well as providing valuations of complex financial instruments both in an advisory/consulting capacity and as an expert in litigation. CMRA coined the term "mark to model" and is widely respected as an expert in both market and model based valuation and in best practices and governance related to their application.

• Assisted multiple clients in the negotiation of derivatives values with the Lehman estate

• Reviewed marks on CDO's in connection with a FINRA investigation

• Valued CDO's and CDO squareds

• 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 on valuation of a CSO and on market practice

• Provided advice in several pre-litigation reviews of valuation of complex derivatives in bankruptcy

• Expert in the valuation of MBS, credit, interest rate and currency derivatives 

• Expert in the valuation of insurance linked derivatives in a counterparty bankruptcy

• Expert in the valuation of illiquid ABS/MBS in an ERISA matter

• Expert on both the liability and damages issues surrounding valuation differences on a Total Return Swap

• Reviewed the CLO valuation and risk management approach for a major broker/dealer

• Valued a portfolio of complex and illiquid asset backed securities

• Reviewed CDO valuation practices for several institutional clients

• Vetted many complex pricing models

• Analyzed by the valuations in a litigation relating to margin calls on an MBS hedge fund for a large broker/dealer

• Provided a "fair value" opinion to a large bank regarding illiquid securities

• Valued a portfolio of complex investments including derivatives for a major insurance company planning an acquisition

• Provided expert consulting in a merger regarding the valuation of complex assets

• Provided expert report and testimony on behalf of a large European bank in an arbitration related to the valuation and profitability of an unusually long term option

• Provided an expert report regarding issues related to pricing of illiquid exchange traded options

• Advised on valuations and market practice issues on the unwind of an emerging market hedge fund with over 100 derivative in positions including total return swaps (TRS) and credit default swaps (CDS)

• Analyzed and priced over 30,000 FX options and forwards

• Provided advice regarding the valuation of a purchasing option embedded in a contract

• Provided valuation and market practice expert report and testimony in litigation related to Askin/Granite funds meltdown

• Advised the Buy-Side Risk Managers in the creation of "Risk Practices for Asset Managers," published February 2008

• Co-chaired the IAFE's Investor Risk Committees Best Practices group

• Benchmarked the practices of hedge funds, money managers, fund of funds, investment banks, commercial banks, derivatives companies and institutional investors

• Served as Technical Advisors and Coordinators to the Risk Standards Working Group in the development and release of the Risk Standards for Institutional Investment Managers and Institutional Investors

• 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 on the valuation of MBS, credit, interest rate and currency derivatives for a claim in an investment bank bankruptcy

• Expert in the valuation of insurance linked derivatives in a counterparty bankruptcy

• Expert in the valuation of illiquid ABS/MBS in an erisa matter

• Expert on both the liability and damages issues surrounding valuation differences on a TRS

• Reviewed the CLO valuation and risk management approach for a major broker/dealer

• Valued a portfolio of complex and illiquid asset backed securities

• Reviewed CDO valuation practices for several institutional clients

• Vetted many complex pricing models

• Analyzed by the valuations in a litigation relating to margin calls on an MBS hedge fund for a large broker/dealer

• Provided a "fair value" opinion to a large bank regarding illiquid securities

• Valued a portfolio of complex investments including derivatives for a major insurance company planning an acquisition

• Provided expert consulting in a merger regarding the valuation of complex assets

• Provided expert report and testimony on behalf of a large European bank in an arbitration related to the valuation and profitability of an unusually long term option

• Provided an expert report regarding issues related to pricing of illiquid exchange traded options

• Advised on valuations and market practice issues on the unwind of an emerging market hedge fund with over 100 derivative in positions including total return swaps (TRS) and credit default swaps (CDS)

• Analyzed and priced over 30,000 FX options and forwards

• Provided advice regarding the valuation of a purchasing option embedded in a contract

• Provided valuation and market practice expert report and testimony in litigation related to Askin/Granite funds meltdown

• Advised the Buy-Side Risk Managers in the creation of "Risk Practices for Asset Managers," published February 2008

• Co-chaired the IAFE's Investor Risk Committees Best Practices group

• Benchmarked the practices of hedge funds, money managers, fund of funds, investment banks, commercial banks, derivatives companies and institutional investors

• Served as Technical Advisors and Coordinators to the Risk Standards Working Group in the development and release of the Risk Standards for Institutional Investment Managers and Institutional Investors

Relevant Publications

• The biggest “CIO” Risk - Alpha” Risk Manager” (complex, illiquid, opaque) - AIMA Journal – Feb. 2008

• Hedge Fund Transparency-Unravelling the Complex and Controversial Debate – Risk Books – March 2003

• NAV/Fair Value Practices - LSTA Loan Market Chronicle – Feb. 2002

• NAV/Fair Value Practices Survey Results - The Journal of Alternative Investments – Winter 2001

• Head Fund Transparency: qualifying valuation bias for illiquid assets – Risk – June 2002

Selected CMRA in the Press – Valuation

How to recognise and benefit from a financial bubble - Morningstar - Jan. 2019

Six Women Honored With Outstanding Women in Performance & Risk Measurement Award - The Spaulding Group - June 2018

The Quants May Not Be Able To Prevent The Next Meltdown - Forbes - Jan 2012

What Is a Chief Risk Officer, and Should Hedge Fund Managers Have One? - Hedge Fund Law Report - Aug. 2009

Risk Inverse - The Journal of Portfolio Management - Spring 2009

In Modeling Risk, the Human Factor Was Left Out - The New York Times - Nov. 2008

The Journal Interview- Leslie Rahl - The Spaulding Group

Opinions Diverge on Who Calls Valuation Shots When Liquidity is Scarce - Hedge World - July 2008

Buy-Side Group Outlines Risk Management Best Practices - Industry Alert - March 2008

Market volatility puts risk at forefront - Pensions & Investments - August 2007

The calm after the storm - or the eye of the hurricane? - Investment Dealers’ Digest

Hidden risk: Investors skim over question of fund valuation - Pensions & Investments - July 2004

Third-parties fill the gap - Risk Management - Financial Times - June 2003

AIMA Releases Fund of Funds Guidebook - Lipper HedgeWorld - Oct. 2002

Buffett Unit’s Exodus From Derivatives Raises Questions - Dow Jones Newswires - May 2002

Fair value pricing can be fairly unfair: Money managers rely on little price info - Investment News - July 2001

INVESTORS LOOK AT RISK, RE-EVALUATE PRACTICES: MOST SAY VAR MEASURES REMAIN VALUABLE - Pensions & Investments - Dec. 1998