• Asset/liability, price/rate risk, basis, cash flow, portfolio, and market analysis model development and analysis initiatives.
• Creation of portfolio and risk management spreadsheet & database applications (especially Excel & Access), and utilization of VBA to automate functional sub-routines.
• Risk management and investment portfolio initiatives (money market, fixed-income, mortgage-backed, equity, currencies, energy, and traditional commodities).
• Complex portfolio management challenges of any type.
• Challenging market research/analytic modeling initiatives.
• Complex business/enterprise modeling requirements to evaluate/support strategic initiatives.
• Challenging data management and information technology requirements interface to support management's strategic modeling initiatives.
• Shortage of internal resources with relevant core competencies.
• Complex financial/portfolio litigation support -- In support of management in their relationship(s) with their legal team and expert witness'.
• In short, situations that are viewed, by most, as being too onerous, for whatever reason, to deal with -- The more problematic, complex and challenging, the greater the need for constructive solutions, the better.

Background and accomplishments in financial services, risk management and portfolio management include:

• Developed a variety of business, cash flow, marketing and activity flow models to enhance the expansion in sub-prime credit card marketing and banking entities.
• Provided litigation support in complex financial portfolio litigation.
• CFO for bank and bank holding company responsible for all accounting, regulatory & shareholder reporting, asset/liability, and portfolio management activities.
• Developed one of first commercially available asset/liability models for financial intermediaries.
• Independent risk management and portfolio management consultant to over 300 institutional and private investor clients.
• Associate Director for major Wall Street firm responsible for developing highest producing fixed-income unit in the firm.

I would appreciate the opportunity to demonstrate my ability to successfully complete, to your satisfaction, a special project or an analysis/research overflow assignment as an initial step toward developing a working relationship with you. If this is an opportune time email us so we can discuss the possibilities.

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These services are structured around 25+ years of experiences and accomplishments associated with having worked with over 300 institutional clients in evaluating, developing, implementing, and managing a variety of portfolio management and risk management processes. Accordingly, the following description of portfolio management and risk management services tends to track the comments contained in the Portfolio and Risk Management Process page, and the comments contained in the White Paper entitled Risk Management Programs & The Use of Derivatives.

The primary focus of all client engagements is the internalization of the capability to develop and implement portfolio management and risk management Strategies&Tactics in a consistent and disciplined manner on an on-going basis. This focus is driven by a commitment to a sound Portfolio and Risk Management Philosophy and is applied within an Analytic Framework of proven principles. This framework is constantly being improved and adapted to ensure the suitable application of Strategies&Tactics within the context of a) the client's portfolio management and risk management objectives, and b) within the context of the opportunities provided by current market conditions.

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1. Develop "as is" performance profile of portfolio or risk position.
2. Review and establish accurate historical context - people, places, events, processes…
3. Clear communication of management's objectives regarding their portfolio and risk management programs.
4. Active participation in iterative feedback process to confirm accuracy and understanding of information, objectives, findings and recommendations.

Each situation analysis concludes with the presentation of a written report that contains a concise statement of the engagement's charter, a clear summary of the client's portfolio management and risk management objectives, along with specific findings and follow-up recommendations. It is always management's decision to accept, reject, or modify the recommendations. Additionally, it is always management's prerogative to select whomever they choose to implement the final recommendations.

Naturally, the terms and conditions within which a situation analysis is completed varies depending on the complexity of the situation. Regardless of the variances, the expected time frame, respective responsibilities, commitment of resources, and cost structure are all agreed to beforehand and codified in an engagement letter, related non-disclosure and confidentiality agreement, and tailored project plan.

As a general rule, the Situation Analysis takes one to two months to complete depending on the final project plan. This usually includes at least two on-site visits along with extensive telephone, email and written communications (both conventional and electronic).

All out-of-pocket, travel, and accommodation expenses are pre-approved and paid for by the client. Out-of-pocket expenses include, but are not limited to; telephone, express mail and data acquisition charges.

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1. Identify current portfolio and risk management practices.
2. Enhance policies and procedures.
3. Conduct internal training.
   

Current Management Practices

As a general rule, there are three main categories in which most portfolio and risk management practices can be placed:

1. Policy decisions - This category is made up of the business policy decisions management makes in their on-going effort to achieve their competitive position and financial performance objectives. These are usually the least costly to implement, but are somewhat limited in their utility to manage all portfolio and risk exposures to be managed without eliminating profit potential. Regardless of this limitation, this alternative, at minimum, should be exhausted before utilizing derivatives.
2. Cash market transactions - This category is made up of the conventional transactions management employs to manage the balance sheet in conformance with industry practices and regulatory guidelines. These are usually currency, commodity, money market, fixed income, mortgage-backed, and equity securities related transactions. These alternatives are best utilized when there is exposure remaining to be managed after management has exhausted policy decision alternatives and before utilizing derivatives.
3. Derivatives - This category is made up of financial instruments that have been derived from underlying instruments that have similar, if not the same, characteristics as the assets and liabilities that make up the Company's risk position (balance sheet or portfolio). These instruments include; forwards, futures, options, swaps, etc. Since this category tends to have more inherent risks, derivative alternatives should be utilized only when there is risk remaining to be managed after management has exhausted all policy decision and cash market transaction alternatives.

It is important to note that even though management may make a conscious decision to manage a given portion of the their risk exposure, and may deliberately act to conscientiously exhaust all policy decision and cash market transaction alternatives, there may remain some exposure still yet to be managed. When this occurs, management's attention needs to be focused on evaluating the risk/reward profile associated with utilizing derivatives to manage the remaining exposure. This analysis, on occasion, will reveal that the risks associated with utilizing a derivatives based strategy may be greater than the benefits of trying to manage the remaining unmanaged exposure. Therefore, there are times, wherein, there is no practical alternative available to management other than continued acceptance of the unmanaged risk exposure.

Identifying and classifying current management practices facilitates the refinement of risk management policies and procedures and conducting appropriate internal training efforts.

Policies and Procedures

Develop/enhance written portfolio management and risk management policies and procedures that are consistent with the existing management policies and procedures framework. In addition to being integrated with existing policies and procedures, explicit provisions should be made for:

• Assignment of functional responsibilities for management and staff.
• Evaluation and selection of firms through, and with, whom portfolio management and risk management strategies will be implemented.
• Securing management and board approval of both the overall process and the implementation of the process.

Internal Training

Conduct internal training for staff, management and board. Given that most staff, management, and board members are well up the experience curve on the effect policy decisions and cash market transactions have on their "as is" performance profile, the focus of this training tends to evolve around the application of important derivatives instruments, concepts, and techniques to the portfolio management and risk management practices already being employed. In addition to defining what derivatives are, the important derivatives concepts that usually need to be covered include (refer to Glossary for description of terms):

• Underlying instrument.
• Exchange traded instruments vs. over-the-counter (OTC) instruments.
• Future/forward pricing structure.
• Volatility.
• Time decay.
• Convergence (as it applies to both price and volatility).
• Exercise (strike) price vs. current price:
  • Out of the money (OTM).
  • At the money (ATM).
  • In the money (ITM).

Each Start-up, Documentation & Approval engagement concludes with the presentation of a written report that contains a concise statement of the engagement's charter, a clear summary of the client's portfolio management and risk management objectives, a summary of actions taken, along with specific findings, policies and procedures, and follow-up recommendations. It is always management's decision to accept, reject, or modify the policies and procedures and related follow-up recommendations. Additionally, it is always management's prerogative to select whomever they choose to implement the follow-up recommendations.

Naturally, the terms and conditions within which a Start-up, Documentation & Approval engagement is completed varies depending on the client's objectives and situation. Regardless of the variances, the expected time frame, respective responsibilities, commitment of resources, and cost structure are all agreed to beforehand and codified in an engagement letter, related non-disclosure and confidentiality agreement, and tailored project plan.

This phase is oftentimes bundled with the Situation Analysis phase to enable reductions in costs and timeframe. As a general rule, the Start-up, Documentation & Approval phase, as a stand-alone phase, takes one to two months to complete depending on the final project plan. This usually includes at least two on-site visits along with extensive telephone, email and written communications (both conventional and electronic).

All out-of-pocket, travel, and accommodation expenses are pre-approved and paid for by the client. Out-of-pocket expenses include, but are not limited to; telephone, express mail and data acquisition charges.

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1. Risk identification and quantification.
2. Conscious decision making.
3. Strategy development and implementation.
4. Accounting, recordkeeping and reporting.

For most businesses involved in creating and intermediating commerce in the main global economic drivers there are five main risk types, all of which are capable of being managed to acceptable levels. These risks include:

1. Interest rate.
2. Price (valuation).
3. Prepayment.
4. Credit.
5. Exchange rate.

Once the type of risk to be managed has been identified, the next issue becomes the objective quantification of that risk. Depending on the type of risk, there are several commercially supported computer models available. And despite a lot of the academic rhetoric about the limitations of spreadsheets, an Excel spreadsheet application in combination with some very basic VBA (Visual Basic for Applications) routines (formerly called macros) can be used to model, and professionally present, just about any imaginable "as is" performance profile risk analysis. Regardless of the specific modeling approach employed, there are at least three key elements that need to be included in the quantification effort to enable subsequent risk management decisions:

1. Underlying assets and liabilities creating the "as is performance profile risk exposure. Key issue is to examine both the asset and liability side of the risk exposure to enable an understanding of the individual portfolio exposure as well as the net exposure created by the combination.
2. Term of risk exposure. Key issue is to determine the length of time the exposure is expected to exist. An important sub-issue is to determine if the exposure is a one time event, or if it is a continuing series of events.
3. Direction of risk exposure. Key issue is to determine the directional interest rate, price, or exchange rate movement to which the underlying risk position is exposed. This is not a forecast, it is simply a determination of the market environment within which the underlying risk position is negatively (and positively) impacted.

As a result of addressing the foregoing risk identification and quantification issues, it is fairly easy to construct a graphical representation of the "as is" performance profile of the underlying balance sheet, portfolio, or risk position. This can be as simple as creating a graph of a single security portfolio, or as complex as executing a series of sophisticated balance sheet, cash flow, income statement, and econometric models representing the relationships of a myriad of interrelated business activities or portfolio holdings. Regardless of how simple or complex the effort, an "as is" profile can, and must, be produced before implementing strategies to alter the profile. The reasons for this are fairly straightforward:

• Without an understanding of the "as is" performance profile, it is difficult, if not impossible, to evaluate the effectiveness of any strategy implemented to alter the "as is" performance profile.
• Regardless of how well intentioned management's risk management efforts might be, without an understanding of the "as is" performance profile, many risk management strategies actually end up exacerbating risk exposure as opposed to managing it towards the desired profile.

This "as is" performance profile will be very useful in establishing a reference point against which all subsequent portfolio management and risk management decisions can be facilitated and evaluated.

Conscious Decision Making

The driving force of any effort to manage risk is the conscious decision, by management, to either accept or modify the exposure quantified as being inherent in the underlying balance sheet, portfolio, or risk position. Naturally, this type of decision needs to be made within the context established by the goals and objectives that make up the business plan, and the environment within which the resulting portfolio management and risk management strategies will be implemented.

Once a conscious decision has been made to manage a given exposure, management's attention should then turn to an evaluation of the effectiveness (risks, costs, and benefits) of the various management alternatives. As a general rule, there are three main alternative management categories from which to draw (as more fully described in the Start-up, Documentation & Approval engagement description):

1. Policy decisions.
2. Cash market transactions.
3. Derivatives.

It is important to note that even though management may make a conscious decision to manage a given portion of the exposure, and may deliberately act to conscientiously exhaust all policy decision and cash market transaction alternatives, there may remain some exposure still yet to be managed. When this occurs, management's attention needs to be focused on evaluating the risk/reward performance profile associated with utilizing derivatives to manage the remaining exposure. This analysis, on occasion, will reveal that the risks associated with utilizing a derivatives based strategy may be greater than the benefits of trying to manage the remaining unmanaged exposure. Therefore, there are times, wherein, there is no practical alternative available to management other than continued acceptance of the unmanaged risk exposure.

Strategy Development and Implementation

Regardless of the type of risk exposure and how it was quantified, regardless of why management decided to manage the exposure, and regardless of the risk management category from which the strategy is drawn, there are five basic issues that need to be addressed in order to develop and implement a strategy in such a way as to minimize, as opposed to exacerbate, the Company's exposure:

1. Establish a reference point from which strategies will be developed and by which strategies will be evaluated. The "as is" performance profile as previously described is helpful in this regard.
2. Clearly state and document the objectives underlying the strategy.
3. Ensure suitability of strategy, both initially and by tactical adjustments on an on-going basis, by making sure that the decisions, actions, and instruments making up the strategy and tactics produce a profile that, when added to the "as is", mitigates as opposed to exacerbates the underlying position's exposure. This can be accomplished by modeling the effect the strategy and related tactical adjustments have on the "as is" performance profile.
4. As a general rule there is more than one strategy and related set of tactical adjustments that can be considered suitable for accomplishing most objectives. Therefore, management needs to objectively evaluate (in both favorable and unfavorable market environments) and select the most suitable strategy for implementation. This can be accomplished by comparing the resulting "adjusted" performance profiles to each other and to the "as is" profile.
5. Implement the selected strategies and tactical adjustments in a manner consistent with established and approved policies and procedures.

Accounting, Recordkeeping and Reporting

The primary focus of this element of the risk management process is to ensure accurate accounting, recordkeeping, and reporting of the results of all strategies. By doing so, objective evaluations of risk management efforts will be enabled. There are three important applications of this point:

1. Proper accounting treatment for GAAP and tax purposes .
2. Systematic reconciliation of internal transaction and position records with brokerage firm records.
3. Periodic reporting to Board, Management, and regulatory agencies.

Naturally, the terms and conditions within which an Internalization engagement is completed varies depending on the client's objectives and situation. Regardless of the variances, the expected time frame, respective responsibilities, commitment of resources, and cost structure are all agreed to beforehand and codified in an engagement letter, related non-disclosure and confidentiality agreement, and tailored project plan.

As a general rule, Internalization engagements tend to span a six to twelve month period depending on the final project plan (the purpose of which is always to systematically enable management's ability to assume more and more of the risk quantification and strategy development and implementation responsibilities). This usually includes at least quarterly on-site visits being required along with extensive telephone, email and written communications (both conventional and electronic).

All out-of-pocket, travel, and accommodation expenses are pre-approved and paid for by the client. Out-of-pocket expenses include, but are not limited to; telephone, express mail and data acquisition charges.

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1. Problematic portfolio and risk management strategies requiring specialized resources focused on developing solutions within urgent time frames.
2. Valuations of difficult to value derivative securities.
3. Ad hoc calls dealing with urgent and problematic portfolio management and risk management issues of concern to client.
4. Basis relationship studies.

Another type of Special Situation engagement is simply management wanting a uniquely structured relationship, wherein, their issues are addressed within a context with which they are comfortable.

Most Special Situation engagements (excluding ad hoc calls) conclude with the presentation of a written report that contains a concise statement of the engagement's charter, a clear summary of the client's objectives, a summary of actions taken, along with specific findings, and follow-up recommendations. It is always management's decision to accept, reject, or modify the policies and procedures and related follow-up recommendations. Additionally, it is always management's prerogative to select whomever they choose to implement the follow-up recommendations.

Naturally, the terms and conditions within which a Special Situation engagement is completed varies depending on the client's objectives and situation. Regardless of the variances, the expected time frame, respective responsibilities, commitment of resources, and cost structure are all agreed to beforehand and codified in an engagement letter, related non-disclosure and confidentiality agreement, and tailored project plan. Because of the urgency accompanying most ad hoc calls, these situations are billed on a per minute basis.

For most Special Situation engagements, a minimum of two on-site visits are required along with extensive telephone, email and written communication (both conventional and electronic). All out-of-pocket, travel, and accommodation expenses are pre-approved and paid for by the client. Out-of-pocket expenses include, but are not limited to: telephone, express mail and data acquisition charges.

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