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Insights

CMRA Books and Resources

 
 

Visit us regularly to see our periodic updates to the Insights page, where we share new and recently-published articles and resources.

 
 

CMRA Commentary

 

 

CMRA Recent Interviews and Press

 

"Citigroup Inc. and the wreckage of Lehman Brothers Holdings Inc. have resolved a fight over $2.1 billion that dates to the financial crisis, while quietly burying a key question about derivatives-trading practices.

Citigroup agreed Friday that it will give back $1.74 billion to the estate of the failed New York-based investment bank. Citigroup had kept about $2.1 billion that Lehman had on deposit with it for trades on everything from interest rates to corporate and sovereign debt at the time of the 2008 bankruptcy. . .

He said there was hope it would bring a legal opinion on issues like bid-ask spreads, netting or combinations of trades, and whether counterparties are entitled to the cost of replacing trades even if they don’t actually replace them.

'It would have been nice to get clarity from a judicial process,' Niculescu said in a phone interview. He noted that a public ruling could have a big downside for both Citigroup and Lehman, however; for Citigroup, it could affect current trading practices, and for Lehman, it could set a precedent for how it would settle remaining claims"

Sep 29, 2017

Lexis PLS Banking & Finance analysis: Capital Market Risk Advisors (CMRA) has surveyed market participants about the new variation and initial margin requirements. Leslie Rahl and Peter Niculescu, partners at CMRA and members of the P.R.I.M.E. Finance Panel of Experts outline the responses on this topic and highlight the potential benefits and costs of implementing the new regulations and explain that while the new regulations seek to reduce both systemic risk and counterparty risk, they likely will not significantly curtail future legal disputes surrounding derivatives closeout.

Sep 7, 2017










The expert analysis and testimony prepared by Capital Market Risk Advisors (CMRA) - a leading risk management, risk governance, and litigation support boutique for the past 25 years - was extensively cited in a 524-page judgement dismissing all 187 claims, with almost $2 billion in alleged damages at stake, against Carlyle Capital Corporation Ltd's directors in a case involving leveraged RMBS.

Sep 4, 2017













Helpful Web Resources


Associations & Organizations

Derivatives

Periodicals

Risk Management

  • Federal Reserve Economic Data (FRED)
    • Database of economic time series suitable for backtesting, historical data, and risk analysis
  • NYU Stern Volatility Laboratory
    • Research on risks in financial markets, with daily calculations of volatilities and correlations on a wide range of assets
  • Risk.net
    • Coverage of financial industry, with a focus on risk management, derivatives, and complex finance

Regulatory

Structured Finance

Recent Literature and Regulatory Guidance

Bank of England

Basel Committee on Banking Supervision

Bank for International Settlement

Commodity Futures Trading Commission

European Central Bank

Federal Reserve Bank of New York

Federal Reserve Board

Financial Stability Board

International Monetary Fund

Office of the Comptroller of the Currency

  • Semiannual Risk Perspective (Fall 2016)
    • Strategic, credit, operational, and compliance risk remain top concerns. Risk governance over sales practices was highlighted in light of recent challenges in risk oversight and governance.

International Swaps and Derivatives Association

[105]: http://www2.isda.org/attachment/OTY3Mw==/ISDA In Review - September 2017.pdf

Risk.net

U.S. Securities and Exchange Commission

European Securities and Markets Authority

 

CMRA Books


Risk Management for Institutional Investors:

Fulfilling Fiduciary and Strategic Responsibilities

By Richard Horwitz and David Tyson, Capital Market Risk Advisors; Published by Risk Books, Nov 2013

More about the book

  • Risk Management for Institutional Investors: Fulfilling Fiduciary and Strategic Responsibilities addresses how board members, directors, trustees, and members of the C-suite overseeing a pension or endowment fund can properly manage and mitigate risk. It details on a practical level how the necessary data can be collected and reported to this governing board within the broad framework of current risk management practices.

  • This holistic executive report will include discussions of risk appetite, risk governance, board risk communication, and board risk training, and will address how highly technical and granular data can be synthesized so that it can be reported to a board that may only meet for three hours every three months, in turn informing the decisions the institutional investors make.


Risk Budgeting, Second Edition:

Risk Appetite and Governance in the Wake of the Financial Crisis

Edited by Leslie Rahl, Capital Market Risk Advisors

More about the book

  • This fully updated and revised second edition of the best-selling guide Risk Budgeting expands upon the first edition, continuing to provide a road map for more effective risk allocation and better return per unit of risk taken. This edition reflects in particular the growing focus on risk appetite and governance in the risk budgeting environment.

Hedge Fund Transparency:

Unraveling the Complex and Controversial Debate

By Leslie Rahl, Capital Market Risk Advisors

More about the book

  • The only title that focuses solely on hedge fund transparency and offers a balanced perspective that appreciates both the needs of institutional investors and hedge fund managers.

  • Presents clear insight on why hedge fund transparency is an issue, as well as offers solutions

  • Includes "perspectives" based on interviews with numerous eminent practitioners from both sides of the investor/hedge fund debate
  • Service providers including consultants, prime brokers, third party marketers, capital introducers, systems providers, lawyers and accountants, will additionally acquire an enhanced insight into the needs of both investors and hedge funds in order to tailor their services to the market needs
  • The press and the regulators can also achieve enhanced understanding of this complex and controversial subject
  • Written by the best-selling author and practitioner Leslie Rahl, who is the chair of the Investor Risk Committee of the IAFE Committee on Hedge Fund
  • Transparency and is uniquely placed to advise on and explain the issues for all concerned participants

Risk Budgeting

A New Approach to Investing

Edited by Leslie Rahl, Capital Market Risk Advisors; Published by Risk Books, November 2000

More about the book

  • A practical and authoritative introduction to the concept of risk unit allocation as an alternative and more effective decision-making process for long-term investors.

  • Make an informed decision about how to implement and execute a "risk unit allocation" investment policy

  • Analysis of techniques to assess how risk might impact long-term Investment returns
  • Introduces methods to allocate assets based on the "risk unit" exposures - in individual asset classes and on a portfolio basis, to meet long-term pension obligations and investment return objectives
  • Investigates ways to use VAR to accommodate a long-term investment horizon
  • Contributions from leading experts drawn from consultancies; large institutional investors; pension plans; investment banks and academia
  • Leslie Rahl has donated her proceeds from the sale of the book to the Fischer Black Memorial Foundation.

Hedge Fund Risk Fundamentals:

Solving the Risk Management and Transparency Challenge

By Richard Horwitz, Capital Market Risk Advisors

More about the book

  • In the constantly evolving hedge fund marketplace, nothing is more central--but in many ways, more amorphous and elusive--than risk. Yet there remains no standard for analyzing and measuring risk within this highly secretive, largely unregulated field, leaving the thousands of hedge funds--and the tens of thousands of hedge fund investors--in dangerously dim light. The industry has not solved the "transparency" challenge--communicating risk to investors without disclosing proprietary information.In the constantly evolving hedge fund marketplace, nothing is more central--but in many ways, more amorphous and elusive--than risk. Yet there remains no standard for analyzing and measuring risk within this highly secretive, largely unregulated field, leaving the thousands of hedge funds--and the tens of thousands of hedge fund investors--in dangerously dim light. The industry has not solved the "transparency" challenge--communicating risk to investors without disclosing proprietary information.

  • Hedge Fund Risk Fundamentals is the first book to bring these issues to the forefront. With clarity, concision, and minimal math, Richard Horwitz lays out the key components and the cutting-edge processes in the field of hedge fund risk management today. Against that backdrop, he presents a groundbreaking utility destined to set the standard for transparency and risk management within the hedge fund universe.

  • You’ll learn why, when it comes to risk management, 1 + 1 = 1.41. For all of those perplexed by the difficulties of assessing risk in hedge fund investing, Horwitz’s concepts make for an invaluable road map and a demystifying resource that hedge funds and investors at all levels will find indispensable.


Value at Risk

"This book has become an industry standard for value at risk."
Leslie Rahl, president, CMRA

More about the book

  • To accommodate sweeping global economic changes, the risk management field has evolved substantially since the first edition of Value at Risk, making this revised edition a must. Updates include a new chapter on liquidity risk, information on the latest risk instruments and the expanded derivatives market, recent developments in Monte Carlo methods, and more. Value at Risk, Second Edition, will help professional risk managers understand, and operate within, today's dynamic new risk environment.

How I Became a Quant

By Richard R. Lindsey and Barry Schachter
From Amazon:

More about the book

  • "Quants"--those who design and implement mathematical models for the pricing of derivatives, assessment of risk, or prediction of market movements--are the backbone of today's investment industry. As the greater volatility of current financial markets has driven investors to seek shelter from increasing uncertainty, the quant revolution has given people the opportunity to avoid unwanted financial risk by literally trading it away, or more specifically, paying someone else to take on the unwanted risk.

  • How I Became a Quant reveals the faces behind the quant revolution, offering you the chance to learn firsthand what it's like to be a?quant today. In this fascinating collection of Wall Street war stories, more than two dozen quants detail their roots, roles, and contributions, explaining what they do and how they do it, as well as outlining the sometimes unexpected paths they have followed from the halls of academia to the front lines of an investment revolution.


Risk Management: The State of the Art

Edited by Stephen Figlewski and Richard M. Levich

More about the book

  • The articles in this volume examine the "State of the Art" in risk management from the standpoint of academic researchers, market analysts and practitioners, and government observers with

  • Risk Management: Where Are We Heading? Where Have We Been? Contributed by Leslie Rahl.

 
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