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Qualifications

  • Founding Principal
  • Other Senior Resources
  • Securities & Capital Markets Litigation
  • Capital Markets Consulting
    • Risk Infrastructure
    • Risk Management Review
    • Whistle Blower Investigation
    • Internal Control Assessment
    • Credit Enhanced Vehicle
    • Client Valuation Governance and Control Infrastructure
    • Credit Risk Framework
    • Valuation Analysis – Complex Transactions
    • Derivatives Risk Review
    • “AAA” Special Purpose Entity (SPE)

Review of Derivatives Risk Management Infrastructure for a Leading US Investment Bank

Activity :

  • A major international derivatives dealer requested we review the pricing and risk management methodology used by all derivative product trading desks. Our project included: 1. Creation of an independent model used to test fair value and risk management; 2. Testing a sample set of trades for valuation and risk measurement accuracy

Results :

  • Report to the Board of Directors confirming the valuation and risk measurement accuracy of the trading desks.
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