FIRM Business Functions Advisory

Our lead consultants have run front-line business functions during their careers, and offer their experience and expertise in the following fields:

Strategic & Tactical Asset Allocation and Portfolio Construction
Investment Portfolio Management in Mortgages and Fixed Income Products
Treasury, Liquidity, & Collateral Management
Risk Management, Hedging, and ALM
Portfolio re-structuring transactions like liabilities buyback & exchanges, hedges re-striking etc.
Securitization & Credit-risk Transfer with Derivatives and Financial Engineering
Balance Sheet and Capital Management
Loan-level and Pool analysis of loans for:
- credit-risk and interest-rate risk management
- assessing quality of loans by Originator

Our Advisory process includes discovery of goals and gaps, discussing approaches, designing process, building prototypes, and implementing the solution.

An example of Advisory #4 above: If a Client wants to discover and apply industry best-practices for Market-Risk measurement & management, we will:

Discover Client's risk-hedging needs for (i) specific asset or liability transactions, (ii) portfolio segments, or (iii) the aggregate portfolio
Provide guideline framework for measuring and reporting on (i) Value of the underlying. and (ii) Asset-to-Liability duration & convexity gaps under:
- Multiple scenarios for interest rates, prepayments, and volatility
- Monte-Carlo Simulations approach
- Or a combination of the two
Show different approaches of managing risk-return profiles to Client desired levels using derivatives, financial engineering, or by introducing new products
Show cost-benefits of alternative approaches, and provide proof-of-concept solutions that show measurement & reporting on risk-level to Client satisfaction
Employ our process for models/system/Vendor identification, and the selection process, up to full system implementation