prOJECT experience
Over the past thirty years, Bernard and his associates have worked on a wide range of projects in the finance industry. Listed below are some examples of work they have undertaken and how they have contributed to their clients' successes.
- For a significant fiduciary manager, we have developed an investment risk management framework that enables the manager to construct and maintain the portfolio to meet objectives whilst not taking excessive risk. This project draws on the new risk management software system that has been implemented as a key component of the introduction of a new investment portfolio product to the company's offerings. We assisted the client in selecting and implementing the new system conducting the request for tender process and project managing the implementation of the chosen system.
- For the administrator of of an investment fund, we provided expert opinion in support of a claim against the fund's manager in a very large hedge fund fraud case.
- For an innovative Fund of Hedge Fund provider, we produced a paper analysing the performance of the fund in comparison with equity markets. The study considered whether the fund of hedge fund provided real diversification for an equity biased portfolio and addressed the limitations of simply considering the correlation between the fund and equity indices.
- For a newly-formed quantitative hedge fund, we developed a market risk measurement system that allowed risk and performance to be tracked, dis-aggregated and attributed to factors. The system calculated Value-at-Risk, stress tests and scenario analysis, as well as providing reports of utilisation against limits.
- For a renowned Fund of Hedge Fund Manager, we developed a portfolio analysis tool that recognised the specific issues and limitations of hedge fund performance data and avoided making assumptions such as normality of returns, independence between time periods and short runs of data. Using Monte-Carlo simulation with bootstrapping, mixture distributions and global optimisation techniques a wide-range of client objectives could be tested within the analytical framework.
- For an American Investment Bank, we considered the impact of the EU Capital Adequacy proposals on the funding and profitability of the Bank’s European operations. This enabled the Bank to optimise its capital allocation within its European business.
- For an American Investment Bank, we designed a set of margin-lending rules to allow the development of its European Prime Brokerage. The rules were based on a combination of liquidity, volatility and diversification and allowed the business to grow rapidly.
- For a UK regulatory body, we designed capital adequacy rules to be applied following the introduction of a new Financial Services Act. As an advisor to the working party of the proposed regulator we developed rules based on a simplified modern portfolio theory approach that proved effective even through periods of severe market disruption.
