Over 30 Years of Experience


Experience Matters

Leslie RahlPeter NiculescuRichard HorwitzFrank Iacono • Dave Tyson

CMRA was founded by Leslie Rahl, a derivatives pioneer, a former director of ISDA, and a Board and Risk Committee member with a BS and MBA from MIT. Her partner, Peter Niculescu, is a former EVP of the $950 billion portfolio at Fannie Mae, a former Goldman Sachs MD and Head of Fixed Income Research, and a Yale Economics Ph.D.

CMRA has been part of the solution for most of the major Derivatives and  structured finance mishaps in the last 25 years  (including but not limited to: Banker's Trust, Orange County, HRO, Sumitomo Copper,  Russian Crisis, LTCM, Columbus Day mortgage meltdown, Canadian ABCP, August '07, subprime, CDOs, CLOs, MF Global, Lehman, and the 2008/2009 financial crisis).

Our unparalleled experience in assessing what went wrong provides a unique perspective to our advisory practice where we focus on "make new mistakes not those made by others."

  1. Experience Matters. We have been in the risk advisory business for over 25 years.

  2. Our Partners and senior professionals each have over 30 years of experience that combines front line derivatives and structured finance expertise with academic credentials and advisory and testifying experience.

  3. We combine our quantitative skills with creative, out-of-the-box thinking.

  4. Our clients get the committed attention of our exceptionally experienced partners. Each project is staffed by one or more partners who are the primary interface and lead consultant or expert on each project.

  5. We merge the wisdom of working through the crises dating back to 1987 as practitioners, risk advisors, board members, and experts in litigation with the up-to-date knowledge garnered by our active risk advisory practice coupled with our Board service experience.

  6. We use our extensive experience with quantitative and communication skills to effectively "translate" complex issues for Boards and courts. We are equally fluent in the language of quants, the language of the court, and the language of the boardroom.

  7. The lessons we have learned from conducting investigations, post-mortems, and as experts in disputes and litigation, inform our unique approach to risk advisory and avoiding problems.

  8. Our experience as risk advisors, traders, treasurers, structurers, risk management, portfolio management, directors and risk and corporate governance experts complements our experience writing expert reports and testifying.

  9. We have clients on both the buy side and the sell side as well as regulators, so we have a deep and unusual understanding of various perspectives.

  10. Our extensive participation in industry initiatives over more than 3 decades that has included the International Swaps and Derivative Association (ISDA), the International Association of Quantitative Finance (IAQF), the Alternative Investment Management Association)(AIMA) the Mutual Fund Directors Forum (MFDF) , the Buy Side Risk Managers Forum (BSRMF), the PRMIA CRO Group, Blue Ribbon Panel, 100 Women in Hedge Funds, Tapestry, and the Securitization Round Table among others has allowed us to impact the shape of the industry as well as to develop an extraordinary "network".


Our People


Founding partner

Leslie Rahl

Leslie Rahl is the Founder and CEO of Capital Market Risk Advisors (CMRA), the pre-eminent risk management firm providing consulting and litigation support services to major US and international financial services companies and institutional investors. She has advised numerous asset management companies, investment and commercial banks, insurance companies, public pension funds, hedge funds, and other market participants on a wide variety of risk management, governance and compliance-related issues, including developing and implementing risk management, hedging, valuation and compliance policies and procedures, reviewing and advising on appropriate risk governance, benchmarking existing programs against industry best practices, advising clients in complex trading strategies, including options and other derivatives. She has also provided expert services in connection with a number of investigations and litigations involving various securities, commodities and derivatives-related matters. Prior to founding CMRA, Ms. Rahl spent 19 years at Citibank, including nine years as co-head of Citibank's Derivatives Group in North America. She launched its caps and collars business in 1983 as an extension of the proprietary options arbitrage portfolio she ran and was a pioneer in the development of the swaps and derivatives business.

+ Read more . . .

From 1986-1991, Ms. Rahl served on the Board of the International Swaps and Derivatives Association (ISDA), the industry trade group that has played a dominant role in the development of the swaps and derivatives markets since 1985. ISDA’s activities are wide-ranging and encompass numerous policy and operational aspects of the markets. One of ISDA’s most important functions has been to create standardized master agreements for use between market participants.

From 1987-1989, Ms. Rahl chaired the ISDA Committee responsible for drafting the original ISDA Master Agreement. She has personally reviewed more than 1,000 ISDA Master Agreements and related schedules, and has been involved in in dozens of terminations of derivative transactions (both consensual and in Events of Default) involving in excess of 50,000 trades.

As a pioneer in the derivatives and structured finance businesses and a long-time advisor to all types of financial services companies, Ms. Rahl has a unique cross-industry perspective. Ms. Rahl is the editor of Risk Budgeting: Risk Appetite and Governance in the Wake of the Financial Crisis, published in September 2012 by Risk Books, author of Hedge Fund Risk Transparency: Unravelling the Complex and Controversial Debate, published in March 2003 by Risk Books, and the editor of Risk Budgeting: A New Approach to Investing, published in November 2000 by Risk Books. Her articles have appeared in a wide range of publications.

Ms. Rahl was named one of the 100 Most Influential People in Finance by Treasury and Risk magazine in June 2010, one of the Top 50 Women in Finance by Euromoney in 1997, and was profiled in both the fifth and tenth anniversary issues of Risk Magazine. She was listed in "Who's Who in Derivatives" by Risk Magazine and was profiled in Fortune's "On the Rise" and Institutional Investor's "The Next Generation of Financial Leaders."

Ms. Rahl is on the Board of Directors of the International Association of Quantitative Finance (IAQF). She was a Director of the International Swaps Dealers Association (ISDA) for five years and is a former Director of the Canadian Imperial Bank of Commerce (CIBC), Fannie Mae, the MIT Investment Management Company, and the Global Risk Institute (GRI) as well as a former Advisory Board Member of the New York State Common Retirement Board. Ms. Rahl is a member of the Economic Club of New York.

Ms. Rahl received her undergraduate degree from MIT in 1971 and an SM/MBA from the Sloan School at MIT in 1972.



Sloan School of Management at the Massachusetts Institute of Technology
SM/MBA, 1972

Massachusetts Institute of Technology
S.B. Computer Science, 1971

Activities & Affiliations

  • International Association of Quantitative Finance, Board of Directors

  • Global Risk Institute

  • International Swaps Dealers Association

  • Canadian Imperial Bank of Commerce

  • Fannie Mae

  • MIT Investment Management Company

  • New York State Common Retirement Board

  • Economic Club of New York




Peter Niculescu

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.

Mr. Niculescu specializes in risk management and portfolio strategy, security, loan and derivative valuation, financing, repo, stress testing and matters involving insider trading and market manipulation. His areas of expertise include valuations of difficult to value financial instruments in liquid and illiquid markets.

+ Read more . . .

Since joining CMRA, Mr. Niculescu has been involved in risk advisory and oversight assignments focused on valuation, risk assessment, reporting and management, portfolio strategy, 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 also consulted on a wide variety of dispute resolution and litigation processes, many of which involved derivatives closeouts under ISDA agreements and/or liquidations and closeouts within the context of disrupted market conditions. Recent engagements have involved fixed income securities, insider trading, market manipulations, repurchase agreements, and a wide range of fixed income, currency, and equity derivatives as well as hard-to-value instruments.

Prior to joining CMRA, Mr. Niculescu was at Fannie Mae, where he was the EVP in charge of the Capital Markets division, responsible for the trading and acquisition of securities and loans on balance sheet, for their hedging and funding, and for capital management. Security holdings included Agency and non-Agency RMBS, CMBS, MRBs, asset-backed securities and corporate bonds. The balance sheet size ranged between $700 billion and $1,000 billion during his time at the company and relied extensively on regular debt issuances and on derivatives and options for hedging.

During the 1990s, Mr. Niculescu was at Goldman Sachs where he was a Managing Director responsible for running Mortgage Research and at various times, Corporate Bond Strategy and 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.

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.



Yale University
Ph.D., Economics, 1985

Victoria University of Wellington
B.A., Economics, 1979

Activities & Affiliations

• Economic Club of New York


• Chartered Financial Analyst



Managing Director

Richard Horwitz

Richard Horwitz, is President and CEO of Risk Fundamentals LLC, a company that provides innovative risk management and transparency solutions for hedge funds and their investors.  He previously was a Managing Director of Risk Management (6 person team) and Investment Due Diligence (14 person team) at Merrill Lynch's Hedge Fund Development and Management Group (HFDMG), which had $26 billion under management.

Prior to Merrill Lynch, Mr. Horwitz served as Director of Risk Management and Portfolio Analytics at Kenmar Global Investment Management, a $3 billion fund of funds.

+ Read more . . .

In 2001, as a principal at Capital Market Risk Advisors, Mr. Horwitz managed a project to assist a major public pension plan in selecting a risk management system. This project resulted in the publication of the only comprehensive comparison of risk management systems (Risk Magazine, December 2001) and identified the unmet market requirements of established systems.

Mr. Horwitz began his financial career as a consultant in the financial services practice of Booz Allen and Hamilton, focusing on a combination of business, technology, and operational strategy work. Mr. Horwitz then spent 8 years as an equity analyst at Sanford C. Bernstein. During this period he covered the capital equipment, energy, and consumer growth industries on a global basis. Mr. Horwitz worked very closely with the quantitative team at Bernstein, integrating quantitative insights into his fundamental research.

Mr. Horwitz authored Hedge Fund Risk Fundamentals, Solving the Risk Management and Transparency Challenge, published by Bloomberg Press, Copyright 2004 (Reprinted 2007) and Risk Management for Institutional Investors: Fulfilling Fiduciary and Strategic Responsibilities published by Risk Books (Copyright 2013). He also wrote "Integrating Credit Hedge Funds into a Portfolio of Investments," a chapter in Credit Derivative Strategies: New Thinking on Managing Risk and Return, edited by Rohan Douglas, Bloomberg Press – Copyright 2007. Mr. Horwitz is frequently published in industry periodicals and is a frequent speaker at industry conferences.

Mr. Horwitz received his undergraduate degree in Electrical Engineering from the Massachusetts Institute of Technology and his MBA from the Sloan School of Management of the Massachusetts Institute of Technology.



Sloan School of Management at the Massachusetts Institute of Technology
SM/MBA, 1976

Massachusetts Institute of Technology
S.B. Electrical Engineering, 1975





Managing Director

Frank Iacono

Frank Iacono has been a Managing Director at CMRA since 2009. He has twenty years of experience with derivatives and structured products as a consultant, structurer, trader and manager, beginning as an associate with CMRA in 1994.

Since 2009 Frank has acted as a consulting expert in litigation matters involving structured securities and derivatives, including SEC investigations related to sub-prime CDOs, disputes concerning ISDA-related claims against and liabilities to the Lehman Brothers estate, and cases involving several billion dollars of total claims arising from the financial market crisis of 2007-2009.

+ Read more . . .

Prior to re-joining CMRA, Frank was CEO of Cournot Financial Products LLC (or "CFP") - a AAA rated CDPC sponsored by Morgan Stanley. CFP was a highly-successful seller of protection on senior tranches of synthetic CDOs, seen by many as "best in class." In 2007 Frank led the set-up, ratings processes, marketing and portfolio ramp-up of CFP. In 2008 Frank was critical throughout the sale process of CFP, achieving affirmation of ratings and a highly-profitable close in November. Of a total of 10 CDPCs closed and more than 20 projects started by market participants, CFP was the most successful, as measured by generation of premium in relation to portfolio quality and realized returns to its initial investor.

From 2001 to 2006, Frank worked with Lehman Brothers, initially as the trader running the credit correlation book in New York and later as the Managing Director in charge of the 12-person structuring team. Frank played a key role in building out Lehman's structured credit products business globally. His team in New York had a consistent track record of developing and executing on innovative, high-margin products that distinguished Lehman from its competitors. Moreover, the revenues of his New York business consistently ranked in the top tier of Wall Street firms, with synthetic CDO revenues growing more than 250% between 2001 and 2005. In addition to his day-to-day responsibilities, Frank also worked with the banking team covering Lehman's credit DPC clients, providing advice with respect to due diligence, business strategy and asset / liability management.

From 1998 to 2001, Frank worked with Chase as a Vice President in the structured credit products group. His work there included restructuring the first managed synthetic CLOs, procuring financing for the credit derivatives business through an innovative CP conduit, and executing credit derivative transact ions which enabled the Bank to transfer loan-portfolio risk to insurers and capital-market investors. In 2000, LANCE, a loan-risk-transfer program structured by Frank, won "Derivatives Deal of the Year" from Institutional Investor.

From 1994 to 1998, Frank worked with CMRA, where he built many of the firm's proprietary valuation models. Publicly-disclosed assignments include valuation and risk assessment of Orange County's structured note portfolio (1994), assisting in the SEC's investigation Banker's Trust's derivatives practices (1995-96) and expert witness work in the ACM versus Commissioner tax litigation (1996).

From 1991 to 1992, Frank worked with the Federal Reserve Bank of New York in capital market research. Much of his work related to interest rate and currency derivatives, which, as a rapidly-growing of area of bank activity, was of particular interest to Fed economists, examiners and managers.

Frank holds a BS in Applied Math (Summa Cum Laude) from Yale and a law degree from Harvard (Cum Laude). Frank is a licensed attorney in the State of New York.

Bar Admissions

• New York


Harvard Law School
Juris Doctor, 1995

Yale University
B.S., Applied Math, 1991



Managing Director

Dave Tyson

Dave Tyson is a Managing Director at CMRA, a risk management firm providing consulting and litigation support services to major US and international financial services companies and institutional investors. Dave's expertise covers insurance portfolio and asset liability management, design and management of investment organizations, registered investment advisor oversight, and risk management. His areas of expertise include detailed experience in all fixed income asset classes, derivatives, alternative investments, and equities. He also has significant background dealing with corporate strategy issues for insurance companies and asset management firms and has been heavily involved in pension fund management issues.

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From 1985 to 2004, Dave worked at Travelers and Citigroup, rising to become Chief Investment Officer of Citigroup's proprietary insurance companies and head of Travelers' registered investment advisor. He started out at Travelers leading a quantitative group charged with building risk management, performance measurement, and other analytic tools as well as managing derivatives and heading the new product committee for Travelers' general account investment team. Dave was responsible for Travelers' first hedge fund investment in 1985 and he started and managed Travelers convertible portfolio from 1986 until he left in 2004. He also took on general account and third party portfolio management responsibilities and became head of the insurance portfolio management group in 1992. From 1994, he was responsible for the investment area's due diligence, planning, and implementation of mergers, acquisitions, and divestitures. Also in 1994, he added the responsibility of President of TAMIC, Travelers' registered investment advisor, and in 1997 became responsible for all fixed income investments for the insurance portfolios. In 2000, Dave became Chief Investment Officer (CIO) for fixed income investments and in 2002 became sole CIO and was responsible for over $100B in assets under management. This included responsibility for Citigroup's international insurance companies. Dave got to work with most of the Travelers Group and Citigroup companies and served on a variety of governance committees including the Global Asset Liability Committee and the Citigroup Pension Benefits Committee. He has also had extensive experience dealing with the rating agencies since the late 1980s.

Prior to joining Travelers, Dave worked at Equitable Investment Management Company (now part of Alliance-Bernstein) working on portfolio analytic/risk management systems, equity valuation and asset allocation tools, new product research, and equity security analysis.

After leaving Citigroup in late 2004, Dave set up RiversEdge Portfolio Advisors to provide investment and risk management consulting to insurance companies. In 2007, he also established RiversEdge Convertible Portfolio Advisors which manages convertible security portfolios. From 2005 until early 2009, he was a partner of Copeland Funds Management, a long-short equity hedge fund manager, and was one of the managing partners of City Light Capital from 2005 to 2008.

Dave is a Director and Chairman of the Risk Management Committee of Cypress-Sharpridge Investments and is a member of the advisory board of City Light Capital.

Dave received his undergraduate degree In Finance/Political Science in 1979 from the Wharton School of the University of Pennsylvania. He received his MBA in 1982 and his Ph.D. in Economics in 1991 from the Stern School of Business of New York University. His Ph.D. dissertation analyzed ex post term premiums in the US Treasury yield curve. Dave has been a Chartered Financial Analyst charter-holder since 1984.


• Chartered Financial Analyst


Stern School of Business, New York University
Ph.D., 1991
MBA, 1982

Wharton School, University of Pennsylvania
B.A., Finance and Political Science, 1979