Clients - Institutional Investors
CMRA Institutional Investor clients settled their Allianz Structured Alpha litigation
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Risk Standards For Institutional Investment Managers and Institutional Investors
CMRA has worked with many plan sponsors, endowments and foundations on a wide range of issues from risk budgeting to creation of investment policies to manager selection to due diligence. Ms. Rahl was a trustee of the $10B MIT Endowment and a member of the Advisory Board of the $120B NYS Common Retirement Fund.
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.
Services for Institutional Investors
Strategy
Investment Policy Review
Risk Budgeting
Risk Appetite and Attitude Statements
Asset Liability Management Advisory
Evaluation of Investment Organizational Structure
Manager Due Diligence, Selection, and Selection Process Review
Planning for Asset Class Expansion
New Product Risk Assessment
Merger and Acquisition Support
Risk Management
Risk Governance
Risk Advisory
Risk Measurement Systems
Risk Due Diligence
Litigation
Represented Institutional Investors in Allianz Structured Alpha Litigation
Investment Operations
Integrated Performance/Risk Measurement and Attribution
Investment Management Structure Review
Investment Policy Setting Process for Clients
Asset Management Process Review for Fixed Income, Equity, and Alternative Investment Asset Classes
Derivative Program Review
Alternative Investment Strategy Review
Board Oversight
Risk Governance Advisory
Education for Trustees
Internal and Regulatory Investigations
Crisis Management (Derivatives and Structured Finance 911)
Pre-litigation Support Analysis and Advisory Services
Litigation Support/ Expert Witnes
Selected Assignments in Institutional Investors
Represented Institutional Investors in Allianz Structured Alpha Litigation
Advised a sovereign wealth fund on valuations for an emerging market hedge fund
Advised pension funds, endowments and investment advisors about portfolio structure, risk analysis (absolute and index tracking risk), and security evaluation and selection in all mortgage products, corporate bonds, CDOs, CLOs, yield curve analysis, interest rate and credit derivatives
Evaluated the reasonableness of an intercompany transfer of MBS/ABS for several pension plans
Conducted an interactive risk appetite discussion for a board of a large pension plan, and used the results to create a customized risk appetite study
Valued complex structured products in counterparty bankruptcy for several SPVs
Advised on the interpretation of ISDA agreements
Advised several pension plans on counterparty risk management
Co-chaired the IAFE’s Investor Risk Committee Best Practices Group
Advised many institutional investors on due diligence for alternative areas
Orange Country - Analyzed the circumstances surrounding orange County’s margin calls (pre-bankruptcy) and blew the whistle
Performed comprehensive risk assessment and reviewed risk management policies and practices for a variety of pension funds, endowments and foundations
Performed due diligence reviews and risk diagnosis on hedge funds, fund of funds and traditional asset managers on behalf of institutional investors
Advised a sovereign wealth fund on risk governance structure
Advised multiple institutional investors on valuation of complex derivatives and CDOs
Reviewed and recommended enhancements to risk reporting to the Boards of multiple Institutional Investors
Trained boards of several public pension funds in risk budgeting techniques
Developed derivative guidelines for the overall fund and its investment managers for several pension plans
Advised several clients on Chief Risk Officer (CRO) roles, responsibilities and selection
Drafted and reviewed risk management policies and practices for numerous institutional investors
Valued a portfolio of complex structured investments
Advised numerous intuitional investors on valuation policies and procedures
Conducted a multi-client study on buy-side risk management
Updated internal and external risk management policies for several institutional investors
Review and recommended enhancements to board reporting for multiple institutional investors
Evaluated the VAR implementation and reporting to the Board of Directors for one of the largest non-US. plan sponsors
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
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
The biggest “CIO” Risk - Alpha” Risk Manager” (complex, illiquid, opaque) - AIMA Journal - Feb. 2008
Due diligence - Leslie Rahl - March 2004
Risk Management An Evolution Forum “Gut to Quant to Wisdom” - AIMA Journal - Sept. 2005
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 - Aug 2003
Beyond the Basics - Due Diligence - 2003 HedgeWorld Compendium – June 2003
Hedge Fund Transparency-Unravelling the Complex and Controversial Debate - ICMA – Jan. 2003
Safety First - ICFA/AIMA Investment Supplement - Dec 2002
Institutionalization of Hedge Funds - Institutional Investor – Fall 2002
Different Perspectives of Hedge Fund Transparency - Alternative Fund - Services Review – October 2002
The Journal Interview - Spaulding Group, Inc. – Summer 2002
Performance Measurement & Attribution - Investment/Financial Services Review – Feb. 2002
Survival After The Blaze - AIMA Newsletter - Apr 2001
Risk Budgeting, A New Approach to Investing Edited by Leslie Rahl - Risk Books - 2000
Selected CMRA in the Press – Institutional Investors
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
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
Risk Management Decoded - The New York Sun - Sep. 2007
Assuming your governance capital - Directors & Boards - Fall 2007
The Pain Moves Beyond Subprime - BusinessWeek - Aug. 2007
The calm after the storm - or the eye of the hurricane? - Investment Dealers’ Digest
Wall Street women: dress code of silence - WSJ - March 2007
By Christina Binkley
On Wall Street, it's still baby steps, as women like Leslie Rahl can attest. Rahl, president of Capital Market Risk Advisors in New York, ran the derivatives business for Citibank for 10 years in the 1980s; it was she and her colleagues who called in the SEC when Orange County, Calif., was going under. And she recalls the old standard, mannish suit-with-a-bow. "Many of my colleagues wore those stupid little women's ties," says Rahl, who says she never owned one.
Today, she says, she has carved out a look that is careful and correct, yet still feminine. "It's very important for women to be women and not little men," she says. But she doesn't trust the vagaries of designer labels. She relies on the advice of her favorite Upper East Side boutique, Miriam Rigler, which provides her staple of pant suits for board meetings, sweaters and jackets for hedge-fund clients.
March 29, 2007
Wall St. takes stock five years after LTCM crisis - Reuters - Sep. 2003
By Eric Burroughs
"LTCM increased the amount of transparency from hedge funds, but it's not very well defined," said Leslie Rahl, a partner at Capital Market Risk Advisors, a New York-based risk management advisory firm.
"The whole issue of valuation is a big one," she said, particularly for instruments ranging from mortgage-backed securities to many derivatives for which trading is not always active and price quotes can vary greatly.
September 26, 2003
INVESTORS LOOK AT RISK, RE-EVALUATE PRACTICES: MOST SAY VAR MEASURES REMAIN VALUABLE - Pensions & Investments - Dec. 1998
Making a model - Grant’s Interest Rate Observers - Aug. 1994
“What Red Adair is to oil and gas exploration, CMRA is to financial engineering"
August 12, 1994