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A Holistic Approach

CMRA is widely recognized for its expertise in all areas of risk management. We believe in a very broad and holistic approach to risk management (see our Galaxy of Risks). We also recognize that only about 1/3rd of the components of a robust risk management (see risk puzzle) program are quantitative and work with our clients on both quantitative and qualitative components of risk management.

We provide services in all areas of risk (market, credit, counterparty, operational, legal and reputational) as well as in enterprise risk management. Our experience with clients on both the buy side and the sell side provide us with a unique perspective which we harness in approaching risk. Our leadership role in establishing "best practice" allows us to provide expert advice to a wide range of clients.

For further information on related services: Valuation, Risk Governance, Structured Finance/ABS/MBS and Best Practice.

Select Assignments

Advised Board of insurance company on risks in new product
Expert on appropriate risk disclosure in a crisis related meltdown
Risk consultant to an MBS broker dealer
Evaluated market risk management of structured finance business for large European bank
Evaluated risk budgeting program and governance for board of a large North American pension plan
Valued a portfolio of complex instruments for a major insurance company planning an acquisition
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
Created a charter and organizational blueprint for the risk oversight function of a large commercial bank
Reviewed and benchmarked the risk management practices of funds of funds, hedge funds and mutual funds
Analyzed CDO's of a large investment manager and recommended structuring and risk management enhancements
Reviewed the CLO valuation and risk management approach of a major broker/dealer
Evaluated the VAR implementation and risk management framework of one of the largest non-US plan sponsors and reported funding to the Board of Directors
Evaluated market, credit, operational and liquidity risk management policies, practices and approach for several banks including an emerging market bank
Evaluated risk measurement, limits, policies and procedures and reporting processes or several large banks
Engaged by a Japanese think tank to provide in depth research on risk management practices of major banks and investment banks
Evaluated risk management practices of sizeable Korean broker/dealer
Advised a major asset manager in the selection of MBS/CMO pricing and risk management systems
Assisted the Board of a major international bank in formulating and establishing a formal "Risk Appetite Statement"
Assisted large money manager in selecting a risk system
Designed and helped implement a VAR process for a leading hedge fund

Risk Management Surveys

Risk Governance 2011
Risk Governance 2010
Risk Governance 2009
Hedge Fund Risk Transparency Survey (06/02)
AIMA/CMRA Hedge Fund Risk Management Survey (04/02)
Risk Management Practices & Needs of CBO and CLO Investors (04/00)
Russian/LTCM Crisis Survey - One Year Later (10/99)
Risk Management During Market Turmoil (9/98)

Relevant Publications

Madoff and the Lessons Learned for Financial Intermediaries - CMRA Risk Insights

Take a Close Look at Your Stress Test Assumptions: Implied Volatility is Up in Most Asset Classes (VIX, MOVE, FX) - May 2022

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

Risk Management An Evolution Forum “Gut to Quant to Wisdom” - AIMA Journal – Sept. 2005

Due diligence - Leslie Rahl - March 2004

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 – August 2003

Beyond the Basics - Due Diligence - 2003 HedgeWorld Compendium – July 2003

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

Risk Management for Hedge Funds and Fund of Funds – ICMA – Jan. 2003

Performance Measurement & Attribution - Investment/Financial Services Review-Feb. 2002

Chapter 17 - Risk Management: Where are we heading? Where have we been? - Kluwer Academic Publishers, Eds Stephen Figlewski & Richard M. Levich-2002

Survival After The Blaze - AIMA Newsletter-April 2001

Risk Budgeting, A New Approach to Investing Edited by Leslie Rahl - Risk Books - 2000