Examining the utility of current expected loss estimates, e.g. VaR, CS10%, DV01, etc., in predicting absolute and relative Realized P&L and offering alternative processes where appropriate.
Producing an inventory of hedge instruments based on historical portfolio data and for use prospectively based on PM, Strategy and / or Firm wide exposures.
Helping PMs evolve with the market. Allow PMs to ‘learn’ through the lens of their own trading patterns by comparing their trade blotter, P&L and exposure data to the return and volatility data from the broader market over specific time frames.
More broadly, we can review your firm’s governance structure to confirm it satisfies your investment management goals and regulatory mandates. Our involvement can range from support creating the Investment Risk Committee Charter to vetting the supervisory process from both an investment and regulatory standpoint.