Practitioners. Pioneers. Testifying Experts.
CMRA’s senior professionals bring decades of experience from inside the markets — trading, managing risk, leading major financial institutions and advising on complex financial disputes.
Their experience spans derivatives, structured products, valuation, portfolio management, risk governance, regulatory matters and expert testimony.
Experience at the Highest Levels of the Markets
CMRA’s leadership combines firsthand experience in the development of modern derivatives markets, senior responsibility at major financial institutions, risk governance and complex financial disputes.
Leslie Rahl
A pioneer in the development of the modern derivatives markets, with decades of experience in derivatives, risk management , valuation and complex financial disputes.
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Leslie Rahl
Leslie Rahl is the Founder and CEO of Capital Market Risk Advisors. Her career spans derivatives trading and market development, risk management, valuation, board-level risk oversight and expert witness work in complex financial matters.
Professional Experience
Prior to founding CMRA, Rahl spent 19 years at Citibank, including nine years as Co-Head of Citibank’s Derivatives Group in North America. She launched Citibank’s caps and collars business in 1983 as an extension of the proprietary options arbitrage portfolio she managed and was an early participant in the development of the swaps and derivatives markets.
At CMRA, she has advised asset managers, investment and commercial banks, insurance companies, public pension funds, hedge funds and other market participants on risk management, hedging, valuation, due diligence, policies and procedures, risk oversight and complex trading strategies.
Derivatives & ISDA
Rahl served on the Board of the International Swaps and Derivatives Association from 1986 to 1991 and chaired the ISDA committee responsible for drafting the original ISDA Master Agreement from 1987 to 1989.
She has personally reviewed more than 1,000 ISDA Master Agreements and related schedules and has been involved in dozens of derivatives terminations involving more than 50,000 trades.
Valuation & Complex Instruments
Rahl’s work has included the valuation of complex and illiquid financial instruments, including derivatives, structured products and portfolios affected by stressed or disrupted market conditions.
Her experience includes both market-based and model-based valuation and the governance and judgment required when observable market information is limited.
Expert Witness Experience
Rahl has served as an expert in complex financial disputes involving derivatives, securities, commodities and valuation issues. Her work has included expert reports and testimony requiring complex financial concepts to be explained clearly to courts, counsel and other non-specialist audiences.
In Barclays v. Devonshire Trust, for example, CMRA served as expert witness for Devonshire Trust and Rahl provided testimony and expert reports in a dispute involving a complex structured derivatives transaction.
Board & Risk Committee Experience
Rahl served on the Board of Directors of the Canadian Imperial Bank of Commerce and its Risk Management Committee from 2007 to 2015.
From 2004 to 2008, she chaired the Risk Committee of the Board at Fannie Mae and served on the Board of the MIT Investment Management Company. She later served on the Board of the Global Risk Institute from 2011 to 2016.
Selected Publications
Rahl edited Risk Budgeting: Risk Appetite and Governance in the Wake of the Financial Crisis and Risk Budgeting: A New Approach to Investing. She is also the author of Hedge Fund Risk Transparency: Unravelling the Complex and Controversial Debate.
Selected Recognition
Rahl was named among Treasury & Risk magazine’s 100 Most Influential People in Finance in 2010 and among Euromoney’s Top 50 Women in Finance in 1997. She has also been profiled by Risk Magazine, Fortune and Institutional Investor.
Education
Peter Niculescu
A senior capital markets executive and testifying expert with deep experience in valuation , derivatives and risk management across complex financial markets.
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Peter Niculescu
Peter Niculescu, PhD, CFA, has been a Partner at Capital Market Risk Advisors since 2009. As CMRA’s lead testifying expert , he advises financial institutions on risk management, governance and oversight , valuation and related institutional risk issues, and assists law firms, courts and arbitrators as an expert on derivatives, capital markets, valuation and market practice. He works alongside CMRA founder Leslie Rahl , a founding board member of ISDA and former chair of its Documentation Committee.
Expert Witness & Dispute Resolution
Dr. Niculescu has advised on scores of matters and testified more than a dozen times in court and arbitration, for both plaintiffs and defendants. He has also been deposed and participated in mediation in disputes involving amounts at stake reaching into the billions of dollars. His testimony has never been excluded and courts in the United States and internationally have cited his testimony.
His expert engagements have involved derivatives , ISDA “Loss,” complex and illiquid instruments, valuation , market practice and commercial reasonableness, damages, risk management , stress testing, structured products and capital-markets trading strategies.
Risk Management & Governance
Drawing on direct experience in trading, portfolio management and institutional risk management, Dr. Niculescu advises financial institutions on risk-management frameworks, risk appetite, governance, risk limits, trading controls, delegations of authority and valuation oversight.
His work includes risk analytics such as Greeks, scenario analysis and stress testing, as well as Fair Market Valuations involving Level 2 and Level 3 instruments. His experience includes direct interaction with boards, regulators, investors and senior management. He has served as a risk advisor to the board of a broker-dealer and as a director of Two Harbors Investment Corp. (2009–2013).
Derivatives, Valuation & Structured Products
Dr. Niculescu’s experience spans equity options and volatility trading; fixed-income, currency, commodity and equity derivatives ; complex and illiquid instruments; structured products ; mortgage-backed securities; credit products; valuation; hedging; and portfolio strategy.
His work includes RMBS, CDOs, CLOs, CDS and other structured products, as well as difficult-to-value securities, loans and derivatives across both liquid and illiquid markets.
Selected Matters
Career Experience Prior to CMRA
Fannie Mae, 1999–2008. Dr. Niculescu served as Executive Vice President, Capital Markets, following three years as Senior Vice President, Portfolio Strategy. As portfolio manager and primary decision maker for the Capital Markets division, he was responsible for a portfolio of approximately $700 billion to $1 trillion and led a 600-person organization of traders, risk managers, technologists and middle-office professionals.
His responsibilities included mortgage loans, MBS, including CMOs, multifamily and non-Agency RMBS, corporate and asset-backed securities, debt issuance and buybacks, and management of interest-rate risk using debt, swaps and swaptions. He also strengthened prepayment and interest-rate risk analytics, valuation, risk limits, governance and trading delegations.
Goldman Sachs, 1990–1999. Dr. Niculescu was a Managing Director in Fixed Income, Co-Head of Fixed Income Research and Head of Market Research and Mortgage Research. His work included fixed-income market analysis, derivatives, government and corporate bonds, emerging markets, mortgage prepayment analytics and independent monitoring of mortgage-trading risk.
Earlier Career. He previously led Government and Corporate Bond Research at Salomon Brothers, focusing on yield-curve modeling, arbitrage and relative value. At Sanford C. Bernstein, he managed a fixed-income portfolio and developed models for the valuation and hedging of options.
Speaking & Publications
Dr. Niculescu has spoken at conferences and forums hosted by the Federal Reserve Bank of Atlanta, the New York State Bar Association’s Derivatives and Structured Products Law Committee, SIFMA, the Financial Times, Institutional Investor, the International Association for Quantitative Finance, P.R.I.M.E. Finance and PRMIA.
He is the author of articles and chapters published in Law360, Risk Books, The Journal of Portfolio Management and American Banker.
Co-editor, with Leslie Rahl, of the second edition of Risk Budgeting (2012).
Education & Credentials
Other Senior Professionals
Additional senior professionals bring extensive experience across risk management, markets and complex financial matters.
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.
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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.
Education
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.
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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
Education
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.
Certifications
• Chartered Financial Analyst
Education
Stern School of Business, New York University
Ph.D., 1991
MBA, 1982
Wharton School, University of Pennsylvania
B.A., Finance and Political Science, 1979