Visit us regularly to see our periodic updates to the Insights page, where we share new and recently-published articles and resources.
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
- Alternative Investment Management Association (AIMA)
- Managed Funds Association (MFA)
- Securities Industry and Financial Markets Association (SIFMA)
- Financial Accounting Standards Board (FASB)
- Financial Stability Board
- Global Association of Risk Professionals (GARP)
- Global Risk Institute (GRI)
- International Association for Quantitative Finance (IAQF)
- International Swaps and Derivatives Association (ISDA)
- P.R.I.M.E. Finance
- Professional Risk Manager’s International Association (PRMIA)
- BIS Semiannual derivatives statistics
- Volume data for over-the-counter derivatives
- ISDA SwapsInfo
- Visualize over-the-counter derivatives data
- OCC Quarterly Report on Bank Derivatives Activities
- Quarterly report on bank and bank holding company derivative activities
- Bloomberg Markets Magazine
- Financial Times
- Matt Levine's Money Stuff
- A daily newsletter highlighting the latest news and developments in all things finance, delivered with a healthy dose of humor.
- The Wall Street Journal
- Federal Reserve Economic Data (FRED)
- NYU Stern Volatility Laboratory
- Research on risks in financial markets, with daily calculations of volatilities and correlations on a wide range of assets
- Coverage of financial industry, with a focus on risk management, derivatives, and complex finance
- Commodity Futures Trading Commission (CFTC)
- Federal Deposit Insurance Corporation (FDIC)
- Federal Housing Finance Agency (FHFA)
- Federal Reserve Board (Fed)
- Financial Industry Regulatory Authority (FINRA)
- National Futures Association (NFA)
- Office of the Comptroller of the Currency (OCC)
- U.S. Securities and Exchange Commission (SEC)
- Asset Securitization Report
- Coverage, analysis, and commentary on structured finance markets
- Structured Finance Industry Group
- Educational resources on structured finance and securitization
- The Journal of Structured Finance
- Quarterly academic journal on structuring and investing in structured finance.
Recent Literature and Regulatory Guidance
Bank of England
- Financial shocks, credit spreads and the international credit channel (November 10, 2017)
- The leverage ratio and liquidity in the gilt and repo markets (November 3, 2017)
- The October 2016 sterling flash episode: when liquidity disappeared from one of the most liquid markets (October 27, 2017)
- Investor behaviour and reaching for yield: evidence from the sterling corporate bond market (October 20, 2017)
- Eight centuries of the risk-free rate: bond market reversals from the Venetians to the ‘VaR shock’ (October 20, 2017)
- International credit supply shocks (October 6, 2017)
- Judging the adequacy of return distribution estimation technigques in initial margin models (September 1, 2017)
- Machine learning at central banks (September 1, 2017)
Basel Committee on Banking Supervision
- Identification and management of step-in risk (October 2017)
- Basel III Monitoring Report (September 2017)
- Basel III definition of capital - Frequently asked questions (September 2017)
Bank for International Settlement
- CoCo issuance and bank fragility (November 2017)
- Bank capital allocation under multiple constraints (October 2017)
- Is the price right? Swing pricing and investor redemptions (October 2017)
- Liquidity risk in markets with trading frictions: What can swing pricing achieve? (October 2017)
Commodity Futures Trading Commission
- CFTC Orders The Royal Bank of Scotland to Pay $85 Million Penalty for Attempted Manipulation of U.S. Dollar ISDAFIX Benchmark Swap Rates (February 2017)
- With this most recent enforcement action, the CFTC has imposed over $5.2 billion in penalties against banks and brokers with relationship to ISDAFIX, foreign exchange, and LIBOR benchmark issues. The settlement reinforces the importance of the integrity of derivatives benchmarks, which market participants rely upon to settle and to value a wide range of derivatives transactions.
European Central Bank
- Liquidity provision as a monetary policy tool: the ECB’s non-standard measures after the financial crisis (November 2017)
- Structural reform waves and economic growth (November 2017)
- A structural model to study the bail-out process in a bank and its macro-prudential policy implications (November 2017)
- On collateral: implications for financial stability and monetary policy (November 2017)
- Monetary policy and bank profitability in a low interest rate environment (October 2017)
- Do negative interest rates make banks less safe? (September 2017)
Federal Reserve Bank of New York
- The Low Volatility Puzzle: Is This Time Different? (November 15, 2017)
- The Low Volatility Puzzle: Are Investors Complacent? (November 13, 2017)
- The Mortgage Rate Conundrum (November 2017)
- An Index of Treasury Market Liquidity: 1991-2017 (November 2017)
- Empirical Network Contagion for U.S. Financial Institutions (November 2017)
- U.S. Monetary Policy as a Changing Driver of Global Liquidity (October 11, 2017)
- Excess Funding Capacity in Tri-Party Repo (October 2, 2017)
- The Development of the Government Securities Clearing Corporation (Forthcoming)
- Why Pay Interest on Required Reserve Balances? (September 25, 2017)
Federal Reserve Board
- Bank failures, Capital Buffers, and Exposure to the Housing Market Bubble (November 24, 2017)
- Identification of Monetary Policy Shocks with External Instrument SVAR (November 2, 2017)
- Trader Positions and Marketwide Liquidity Demand (October 2017)
- Faster Payments: Market Structure and Policy Considerations (September 2017)
- How does the Fed Adjust its Securities Holdings and Who is Affedted? (September 2017)
- Optimal Bank Regulation in the Presence of Credit and Run Risk (September 2017)
Financial Stability Board
- Funding Strategy Elements of an Implementable Resolution Plan (November 30, 2017)
- Principle on Bail-in Execution (November 30, 2017)
- Review of the list of global systemically important insurers (G-SIIs) (November 21, 2017)
- 2017 list of global systemically important banks (G-SIBS) (November 21, 2017)
- Summary Report on Financial Sector Cybersecurity Regulations, Guidance and Supervisory Practices (October 13, 2017)
- Reforming major interest rate benchmarks (October 10, 2017)
- Second phase of the G20 Data Gaps Initiative (DGI-2): Second Progress Report
International Monetary Fund
- Credit Growth and Economic Recovery in Europe After the Global Financial Crisis (November 17, 2017)
- Basel III and Bank-Lending: Evidence from the United States and Europe (November 15, 2017)
- Liquidity Stress Tests for Investment Funds: A Practical Guide (October 31, 2017)
- Global Liquidity Transmission to Emerging Market Economies, and Their Policy responses (October 30, 2017)
- The Effect of Leverage on Asset Sales Between Finanical Institutions (September 2017)
- Big Data: Potential, Challenges, and Statistical Implications (September 2017)
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
- Asia-Pacific OTC Derivatives Study (November 13, 2017)
- SwapsInfo Second Quarter 2017 Review (August 16, 2017)
- ISDA videos on alternatives interest rate benchmarks (July 6, 2017)
- Compliance fears slow use of synthetics swaps to cut IM (September 7, 2017)
- Libor's sunset sees US repo market cast a longer shadow (September 11, 2017)
U.S. Securities and Exchange Commission
- Report to Congress: Access to Capital and Market Liquidity (August 2017)
- Investor Bulletin: Initial Coin Offerings (July 25, 2017)
- Access to Capital and Market Liquidity (August 2017)
- SEC sanctions investment manager for overvaluing assets on financial statements (July 19, 2017)
European Securities and Markets Authority
- TRV – ESMA Report on Trends, Risks, and Vulnerabilities (November 2017)
- ESMA alerts investors to the high risks of Initial Coin Offerings (ICOs) (November 2017)
- Final report: Draft RTS on the trading obligation for derivatives under MiFIR (September 28, 2017)
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
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
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.