Expertise
Risk Competencies
- Structured finance credit ratings
- Corporate bond default studies of small, medium and large scale enterprises
- Consumer credit scoring and risk-based pricing
- Valuing complex securities
- Designing and building dynamic risk measurement systems
- Designing stable, capital-efficient funding structures
- Third-party validation of quantitative credit models and their outputs
- Skill-assessment and skill-building in credit portfolio risk management
- Strategic advisory services on businesses at all levels of in the value chain of the credit-granting process
Credit Rating Assignments and Bond Default Studies
- Bespoke content creation on credit rating agency governance topics (2010 and 2011)
- Independent valuation of cash/synthetic RMBS and RMBS CDO transactions (a large number of assignments from 2007 through the present)
- Transaction consultancy for a securitizing Kuwaiti bank (2007 and 2010)
- Structuring advisory services for securitizing the business assets of SMEs (multiple assignments from 2006 through the present)
- Third-party validation and summary credit statistics of a U.S. emerging market guarantor’s portfolio history performed on behalf of an African development bank (2008)
- Custom-design structured financing for a global lender to the microfinance industry. R&R provided the modeling support; managed the rating agency dialogue; and explained the transaction to investors (multiple assignments from 2006 through the present)
- Strategic analysis of the future of the credit markets (2008) for a large U.S. credit scoring company
- Arm’s-length valuation on behalf of investors of the short strategy of a “Big Short” before they committed funds to the investment (2007)
- First pan-Russian bond default study on the SME sector-multiple assignments related to bond development in Russia (2007)
- Design and execution of a securitization platform for medium-sized Russian lending banks (2006)
- Construction of the first static pool analysis for micro-finance institutions in Asia, Latin America (2006)
- Independent valuation of the assets in portfolio of a busted credit card master trust (2006)
- Audit of state-of-the-art Merton Default decision support tools for a global rating agency (2003)
- Corporate bond default study for Brazil’s largest private bank-developed the internal models for risk-based loan pricing in consumer and SME sectors (2005)
- Corporate bond default study for large Brazilian bank-developed the internal models for risk-based loan pricing in consumer and SME sectors: R&R worked with bank staff to build the models and provided training enabling the bank to maintain and extend the models’ usefulness (2004)
- Corporate bond default study for Brazil’s largest public bank-designed and built quantitative credit risk models to use in global and dynamic value at risk (VAR) analysis in the following core business lines: consumer loans (revolving and installment); corporate lending in four market segments (segregated by annual revenues): micro – up to R$0.5 MM; small – R$0.5 MM to R$8 MM; middle – R$8 MM to R$100 MM; large – more than R$100 MM; agricultural lending (agricultural, livestock and hybrid); financial institutions. KS results ranged from 0.35 to 0.69 (2003). NB: Sylvain Raynes in the late 1980s built the original credit scoring system for Citibank’s global credit card business unit
Credit Risk Software Development and Licensing
- U.S. and foreign investors have licensed the R&R Waterfall Editor(C) (2009-2011)
- Brazilian credit scoring platform retained R&R to develop a paperless mortgage securitization operational interface (2009)
- Credit model for micro-finance rating agencies and concessionary lenders to rate CDOs of MFI loans (2006-2010)
- Credit scoring models custom-built for U.S. small and medium-sized leasing companies (2005)
- Financing decision tool for an emerging market primary mortgage lender that simulated investment risks associated with a new residential mortgage originator in a liberalizing Eastern European economy (2003)
Custom Corporate and Academic Training Mandates
- Hong Kong University of Science & Technology
- EDHEC, Nice campus
- Baruch College, City University of New York
- NYU School of Continuing and Professional Studies
- University of California at Irvine
- Licensing manual/exams, for regulating Hong Kong’s credit rating agency
- Credit Rating Agency processes, for a European bank regulator
- Mortgage Capital, CDOs, Securitization for a Taiwan consortium
- Structured finance, for a multilateral development bank
- NASBA-qualifying course for a Big Four accounting firm
- Securitization, for the first Sub-Saharan RMBS transaction team
- Securitization, for senior members of an African stock exchange
- Securitization, for an East European Central Bank
- Branded structured finance training, for the U.S. securitization lobby group
- Advanced securitization, for a federal housing finance agency in Mexico
- Securitization, for a global bank in Mexico
- Securitization, for key officers of multiple multilateral development banks
- Securitization, for several U.S. national financial bank regulatory institutions
- Securitization, for a financial guarantor
- Securitization in emerging markets, for a European development bank
