Consulting Services
Please contact me if you are interested in qualitative or quantitative consulting services related to investment performance and risk analysis. I am specializing in highly customized and cost-effective solutions suitable for independent investment managers, asset management services boutiques as well as family offices. Although I do not consider myself an investment advisor, I also do consult private and institutional investors.
An unsorted list of some of my specialities...
- MS Excel - based implementations of modern quantiative risk management techniques (GARCH, VaR, extreme value theory, copulas, alternative optimization approaches)
- Portfolio contstruction techniques "beyond Markowitz" with non-normal distributions, non-linear dependence structures and realistic investor preferences based on complex risk preferences.
- The more recent risk management requirements for mutual funds in Europe (UCITS III, KAG) , development of meaningful risk limits
- Performance calculation methodologies (performance attributions, TWR/MWR) & presentation standards (GIPS), certification/verification of return figures, performance reporting issues
- Analysis of complex derivative instruments, structured products and non-traditional trading strategies
- Independent opinion on realized investment performance & risk for private individuals and institutions
- Ability to make the more recent reserach results in the field performance analysis & risk management accessible to a wider audience
- An eye not only on tools, but also processes and issues in the context of enterprise risk management (risk assessments)
- Gap analysis / assessment of performance & risk management software
- A consistent track record of 'best practice' experience in various segments of the asset management industry (funds, institutional, private banking)
References are available upon request.
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