Summary of External Projects since 1993

For securities firms

  • market research on proposed new stock indices
  • market research on proposed new derivative instrument
  • specification and programming of Monte Carlo model to replicate a portfolio of property derivatives
  • course in appreciation of asset allocation for securities staff dealing with investment managers

For insurance company fund managers

  • review of available databases, platforms, models and modelling systems for international equities
  • advice on introduction of quantitative techniques into the investment process
  • market research into strengths and weaknesses of fund managers, as perceived by consultants
  • evaluation of contribution to investment process of existing qualitative and quantitative systems
  • advice on choice of asset allocation and stock selection software
  • advice on quantitative staff recruitment and training
  • advice on mandate evaluation and adaptation of investment process to meet SIP guidelines
  • creation of software to ensure a single policy is applied consistently to a multiplicity of mandates
  • creation of software analysing risks of all managed funds automatically
  • specification of back office system to value OTC
  • derivatives training courses

For other fund managers

  • specification of an in-house system to measure the implementation of quantitative stock selection
  • advice on, and reprogramming of, property valuation model
  • devising a consistent risk-based system of guideline ranges for all asset classes and factors
  • acting as "facilitator" at corporate rethink weekend
  • establishment of risk management system for hedge fund manager

For the global risk management departments of banks

  • specification and programming of an integrated system applying options theory and portfolio investment management techniques to the analysis of a credit portfolio
  • review of existing RORAC systems and calculation of empirically based default frequencies
  • specification and programming of empirical transition matrix based credit portfolio management system

For property surveyors and investors

  • preparation of material demonstrating the benefits of French, German, Dutch, Belgian and UK property as additional asset classes for institutional investors
  • preparation of bespoke property sector indices for selected markets
  • creation of allocation model allowing for varying lot size in different sectors

For quantitative and other software firms

  • advice on product improvement (based on information in the public domain)
  • advice on unexploited market niches
  • advice on staff recruitment
  • advice on implementing a bond performance attribution system

Similar projects appear only once