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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:

  1. Strategic & Tactical Asset Allocation and Portfolio Construction

  2. Investment Portfolio Management in Mortgages and Fixed Income Products

  3. Treasury, Liquidity, & Collateral Management

  4. Risk Management, Hedging, and ALM

  5. Portfolio re-structuring transactions like liabilities buyback & exchanges, hedges re-striking etc.

  6. Securitization & Credit-risk Transfer with Derivatives and Financial Engineering

  7. Balance Sheet and Capital Management

  8. 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

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