Clients - Hedge Funds
CMRA Institutional Investor clients settled their Allianz Structured Alpha litigation
CMRA has consulted to many hedge funds on issues ranging from best practice to risk branding to VAR to valuation. CMRA has represented hedge funds, prime brokers and insurance companies in disputes re margin calls, valuation, and events of default. CMRA has performed due diligence and taught risk due diligence best practice to many hedge funds and institutional investors.
CMRA has been an expert in several multi billion dollar high profile hedge fund related disputes that are subject to confidentiality agreements.
CMRA advised AIMA (Alternatative Investment Management Association) in the creation of its Due Diligence questionnaires (DDQ) and introduced risk due diligence.
Ms. Rahl is the author of Hedge Fund Transparency: Unravelling the Complex and Controversial Debate, published in March 2003 by Risk Books. Ms. Rahl and Mr. Niculescu are the editors of Risk Budgeting - Risk Appetite and Governance in the Wake of the Financial Crisis, published in September 2012 by Risk Books, and Risk Budgeting: A New Approach to Investing, published in November 2000 by Risk Books. Their articles have appeared in a wide range of publications.
Ms. Rahl was on the Board of 100 Women in Hedge Funds for its first three years and chaired its Philanthropy Committee.
Selected Assignments – Hedge Funds
CMRA represented Institutional Investors in dispute with Allianz Structured Alpha
CMRA served as an expert in regulatory litigation on fund of fund diversification
CMRA represented hedge funds in 18 Lehman-related disputes
Conducted due diligence on hedge fund's for numerous funds of funds and institutional investors
Vetted many complex pricing models for complex Derivatives, CDO's, CLO's etc.
Helped several hedge funds "risk brand" themselves
Represented a large hedge fund in litigation re: margin calls on TRS
Advised on the unwinding of an emerging market hedge fund (HRO) with over 100 derivative positions including valuation and market practice issues.
Drafted and reviewed risk management policies and practices for numerous several hedge funds
Advised major global macro fund regarding "Risk Branding"
Advised pension fund in asset allocation for alternative investments
Advised several clients on Chief Risk Officer (CRO) roles, responsibilities and selection
Conducted a multi-client study on buy-side risk management
Co-chaired the IAFE's Investor Risk Committees Best Practices group
Analyzed the valuations in a litigation relating to margin calls on an MBS hedge fund
Valued emerging market credit derivatives for a major hedge fund
Benchmarked hedge fund transparency practices and needs of hedge funds, funds of funds and investors
Provided expert testimony and analysis in a Federal Court trail involving FX options
Conducted several widely published surveys on hedge fund risk management
Provided a monthly "fair value" opinion for a technology hedge fund
Commissioned by the prestigious Alternative Investment Management Association (AIMA) to prepare a research report on fund of funds vs. individual hedge fund investing
Vetted many complex pricing models
Provided valuation and market practice expert report and testimony in litigation related to Askin/Granite funds meltdown
Designed and helped implement a VAR process for a leading hedge fund
Relevant Publications
Madoff and the Lessons Learned for Financial Intermediaries - CMRA Risk Insights
SAY WHAT YOU DO, AND DO WHAT YOU SAY! - Jan. 2022
Dr. Peter Niculescu to speak on lessons learned for quants and risk managers at The Quant Conference Digital - Nov. 2020
Risk Management Lessons Learned in 2020 Covid Crisis - Sep. 2020
Asset Liquidity Risk: Piecing Together the Puzzle - Nov. 2017
New margin regulations for non-cleared derivatives - Sep. 2017
CMRA's Expert Analysis and Testimony Instrumental in Carlyle's $2bln Litigation Victory in Guernsey Court - Sep. 2017
The Great (Disappearing) Recession: Adding Historical Data Desensitizes the Shock - July 2017
CMRA's Uncleared Swap Margin Survey Results - June 2017
Are your pricing policies and procedures for less liquid instruments adequate? – the SEC is looking - June 2017
Risk Budgeting - Risk Appetite and Governance in the Wake of the Financial Crisis Edited by Leslie Rahl - Risk Books - Sep. 2012
Value-at-Risk: A Dissenting Opinion - Stephen Rahl - Sep. 2012
Madoff and the Lessons Learned for Financial Intermediaries - CMRA - 2009
The biggest “CIO” Risk - Alpha” Risk Manager” (complex, illiquid, opaque) - AIMA Journal – Feb. 2008
Risk Management An Evolution Forum “Gut to Quant to Wisdom” - AIMA Journal – Sept. 2005
Due diligence - Leslie Rahl - March 2004
A New Approach to Risk-Adjusted Asset Allocation for Hedge Fund Investing - AIMA Journal – Sept. 2003
Managing the Risks of Alternative Investment Strategies Chapter 8 - Due Diligence - Euromoney Books – Fall 2003
Hedge Funds: A Definitive Overview of Strategies and Techniques Chapter 9 - Risk Management - John Wiley & Sons – August 2003
Beyond the Basics - Due Diligence - 2003 HedgeWorld Compendium – July 2003
Hedge Fund Transparency-Unravelling the Complex and Controversial Debate - Risk Books – March 2003
Risk Management for Hedge Funds and Fund of Funds – ICMA – Jan. 2003
Safety First - ICFA/AIMA Investment Supplement – Dec. 2002
A Guide to Fund of Hedge Funds Management and Investment – AIMA – Oct. 2002
Institutionalization of Hedge Funds - Institutional Investor – Fall 2002
Different Perspectives of Hedge Fund Transparency - Alternative Fund Services Review – Oct. 2002
Hedge Fund Risk Transparency - AIMA Newsletter – Feb. 2002
Survival After The Blaze - AIMA Newsletter – April 2001
Risk Budgeting, A New Approach to Investing Edited by Leslie Rahl - Risk Books - 2000
Selected CMRA in the Press – Hedge Funds
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
VaR Enough? Market turbulence tests the limits of Value at Risk - Institutional Investor - June 2008
Citibank responds, sues for breach of contract in credit default swap case - Debtwire - April 2008
Don’t Trust the Wall St rally - Fortune - March 2008
The Blow-Up - MIT Technology Review - Oct. 2007
Subprime and Hedge Funds: Hard Lessons to Learn Here? - HedgeWorld - Sep. 2007
Market volatility puts risk at forefront - Pensions & Investments - August 2007
The Pain Moves Beyond Subprime - BusinessWeek - August 2007
The calm after the storm - or the eye of the hurricane? - Investment Dealers’ Digest
AIMA Oct 27 Luncheon Invitation - AIMA - Oct. 2004
Hidden risk: Investors skim over question of fund valuation - Pensions & Investments - July 2004
AIMA Releases Fund of Funds Guidebook - Lipper HedgeWorld - Oct. 2002
INVESTORS LOOK AT RISK, RE-EVALUATE PRACTICES: MOST SAY VAR MEASURES REMAIN VALUABLE - Pensions & Investments - Dec. 1998