Top
Capital Market Risk Advisors

Valuation of Complex, Illiquid Instruments

Your Lifeline in a Risky World

 

Home > Services > Valuation of Complex, Illiquid Instruments

Specialists in Advanced Financial Algorithms

CMRA has testified in litigation and has helped set the standards for the governance of valuation of complex instruments. CMRA coined the term "mark to model" and is widely respected as an expert in both market and model based valuation and in best practices and governance related to their application.

Select Valuation Assignments

  • Volatility and options valuations

    • Valued variance swaps in a large and illiquid portfolio

    • Valued portfolios of out-of-the-money equity options overnight during market stress events

    • Valued volatility swaps for margin calls

    • Valued foreign exchange options

  • Assisted 20 clients in calculating derivatives values with the Lehman estate, Examples:

    • Portfolios of thousands of a wide variety of instruments

    • Derivatives with no trading or market making such as Icelandic Bank CDS

    • Extremely large non-tradeable exotics such as binary slope-of-the-yield curve options

    • Proprietary Lehman products such as CDS on Preferred Stock

    • Valued CDOs and CDO-squareds

  • Total Return Swaps

    • Expert in Devonshire vs. Barclays relating to a TRS on a CDO during suspended trading.

    • Expert in a litigation related to margin calls, valuation, and events of default on a Total Return Swap on a bespoke portfolio of loans

    • Expert on both the liability and damages issues surrounding valuation differences on a Total Return Swap

    • Expert on Total return swaps on CDO/CLOs.

  • Leveraged Financing

    • Expert in liquidations of $20 billion Agency MBS and of ABS portfolios due to increased margins and lower valuations

  • Commodities

    • Due diligence on Renewable Energy Certificate trading business

    • Expert in bankruptcy relating to Texas storm Uri

    • Expert in matters involving sugar and Sumitomo copper

    • Experts in risk management of overnight trading in wheat and other futures regarding MF Global

  • Subprime Mortgages

    • Expert in a matter involving subprime mortgage origination

    • Expert in valuations of subprime mortgage tranches and indexes

  • Due Diligence

    • Expert on due diligence

    • Provided due diligence for many investors including for Private Equity investors on corporate financial investments

    • Expert on due diligence standards and on when they are and are not met

Relevant Publications

  • The biggest “CIO” Risk - Alpha” Risk Manager” (complex, illiquid, opaque) - AIMA Journal – Feb. 2008

  • Hedge Fund Transparency-Unravelling the Complex and Controversial Debate – Risk Books – March 2003

  • NAV/Fair Value Practices - LSTA Loan Market Chronicle – Feb. 2002

  • NAV/Fair Value Practices Survey Results - The Journal of Alternative Investments – Winter 2001

  • Head Fund Transparency: qualifying valuation bias for illiquid assets – Risk – June 2002

Selected CMRA in the Press – Valuation

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

Buy-Side Group Outlines Risk Management Best Practices - Industry Alert - March 2008

Market volatility puts risk at forefront - Pensions & Investments - August 2007

The calm after the storm - or the eye of the hurricane? - Investment Dealers’ Digest

Hidden risk: Investors skim over question of fund valuation - Pensions & Investments - July 2004

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

Third-parties fill the gap - Risk Management - Financial Times - June 2003

AIMA Releases Fund of Funds Guidebook - Lipper HedgeWorld - Oct. 2002

Buffett Unit’s Exodus From Derivatives Raises Questions - Dow Jones Newswires - May 2002

Fair value pricing can be fairly unfair: Money managers rely on little price info - Investment News - July 2001

INVESTORS LOOK AT RISK, RE-EVALUATE PRACTICES: MOST SAY VAR MEASURES REMAIN VALUABLE - Pensions & Investments - Dec. 1998

 
Top