Complex Risk
Building, aligning, and independently challenging risk frameworks.
Risk management has never meant a compliance overlay detached from the business. The work spans enterprise, market, credit and counterparty, liquidity, model, operational, and investment risk — built where none existed, aligned with the businesses that have to use it, and challenged independently where the answer could not safely come from the people being reviewed.
The problems I am asked to solve
- Function-building. Standing up an enterprise risk function where there is none — factor modelling, portfolio and risk analytics, limits, attribution, and the governance around them. I built risk management for a $15 billion multi-strategy fund at Perry Capital, integrating quantitative risk and portfolio-management technique into a discretionary investment culture, and stood up the risk architecture from zero for a start-up global macro fund.
- Alignment. Making a risk function work with the business rather than alongside it. At Ally Financial my mandate was the alignment and effectiveness of the risk organisation with the lines of business — the part of the job that decides whether risk analysis gets used or filed.
- Regulatory examination. Separately at Ally, I served as primary regulatory liaison and managed a successful Federal Reserve market-risk examination, across CCAR, capital adequacy review, Basel 2.5, Market Risk Rule compliance, and model validation.
- Independent challenge. Assessing what is actually in place, identifying what is missing, and distinguishing clearly between existing capability and work still required. Four separate engagements as an outsourced or independent chief risk officer, across a broker-dealer, a global macro fund, a start-up discretionary equity fund, and a long/short equity and private-equity fund.
- Executive communication. Translating complex exposures into terms a board and an executive committee can act on — the part of the job that is usually the binding constraint.
Context: the reported number was not the risk
The clearest illustration of what independent challenge is for. As Global Head of Market Risk at Salomon Smith Barney, I was asked to assess the firm's risk profile independently and concluded that the proprietary trading division's true exposure was far larger than the division's own estimate. I presented the argument to the executive board; the division's management disagreed.
Salomon Smith Barney · Proprietary Trading Division · 1998
The division subsequently lost in excess of $1 billion during the LTCM crisis, as was widely reported.
[Santa] was tapped … to independently assess Salomon's risk profile. He asserted that the effective risk exposure of the Proprietary division was orders of magnitude larger than what was believed to be the case at the time. Shortly thereafter, the Division lost in excess of $1B during the LTCM crises, as was widely reported.Farhang Mehregani · CEO and Founder, EngineAI · managed me directly
Independent review of another firm's framework is a distinct discipline, and I have been retained to do it four times — including an engagement directly from a chief executive. Where those engagements are governed by confidentiality I describe the work and not the client. The fuller treatment, in a form suitable for disputes, is on the expert support page.
Buy-side and sell-side
The risk perspective is grounded in having sat on both sides of the trade. Global market-risk leadership at a bulge-bracket firm; chief risk officer at hedge funds; and, earlier, portfolio management of roughly $8 billion of fixed income at Western Asset Management as one of four senior portfolio managers, with responsibility for structured and mortgage-derivative investments. Risk that has perspective is stronger for having owned positions and managed portfolios as well as having overseen risk independently.
The models behind the risk analytics → · Carrying the conclusion to the board →
Build a risk function, or have one reviewed.
For enterprise and investment risk build-out, interim or fractional CRO work, independent risk review, and examination readiness.