Case Examples :
We were asked by a large regional credit union to evaluate existing asset and liability policies and procedures and made recommendations for improvement. We directed the implementation of a sophisticated risk measurement software that modeled asset values over time utilizing stochastic term structure models, Monte Carlo simulations, binomial models and option valuation models. Our work combined a knowledge of operations, financial analysis, derivatives, and systems architecture to lead to a successful implementation of a risk measurement and risk management system.
For PricewaterhouseCoopers, we provided technical expertise in the evaluation of hedging techniques and corporate risk management models used by one of the largest mortgage banking corporations in the U.S. In this capacity, we critiqued model design and developed implementation strategies. We provided suggestions for integration of departments and utilization of macro hedging approaches.
For a large regional bank, we evaluated third part credit risk information as to its reliability in making origination decisions and in establishing appropriate risk levels for pricing of loans. This required linking data from multiple systems in the bank that did not communicate and did not have any readily available linkage flags. Using this information we were able to validate risk ratings for borrowers and simultaneously validate reserve calculations performed by the institution.
For RD Enterprises we provided valuation assistance in the computerization of mass appraisal technology. We acquired multiple databases for residential and commercial properties within different counties and applied multivariate analysis techniques for the identification of undervalued and overvalued properties.