Case Studies

Retained as expert witness to analyze trading patterns in a discretionary brokerage account. The claim alleged excessive trading activity designed to generate commission income rather than client returns. The account held various call options with different underlyings and maturities.

Constructed a cost-ratio analysis framework to measure commission burden against expected returns. Developed Monte Carlo simulation to estimate profit probability given the actual trading pattern. Compared turnover rates against industry benchmarks for similar account profiles.

Engaged to provide independent valuation of an interest rate swap and assess whether the product was suitable for the investor's stated risk profile and investment objectives. The swap involved complex currency and interest rate exposure with embedded optionality.

Built a mark-to-market valuation model incorporating currency volatility, interest rate volatility, and mean reversion parameters. Conducted scenario analysis across optimistic, realistic, and pessimistic parameter choices. Evaluated risk-return profile against the investor's documented constraints.

For optimistic and realistic parameter combinations, the analysis indicated potential portfolio optimization benefits. However, the majority of parameter choices yielded adverse outcomes. The product's complexity and embedded risks exceeded the investor's documented risk tolerance.

Prepared expert witness report on the valuation of callable range accrual swaps. The product contained embedded call options allowing the issuer to terminate, creating asymmetric risk for the investor. The valuation required path-dependent simulation due to the accrual mechanism.

Implemented Monte Carlo simulation for path-dependent payoffs. Modeled interest rate volatility with calibrated mean reversion. Valued the embedded call option separately using backward induction. Tested sensitivity across realistic parameter ranges.

The product with termination right demonstrated distinctly negative value for the investor in every tested scenario. The callable feature transferred significant value to the issuer, a fact not adequately disclosed in the product documentation.

Retained as expert witness following the January 15, 2015 EUR/CHF flash crash. When the Swiss National Bank removed the currency floor, the exchange rate dropped from 1.20 to below 0.90 within seconds. Multiple investors with CHF loans suffered losses when their stop-loss orders failed to execute at expected levels.

Analyzed stop-loss order mechanics and failure modes during liquidity crises. Compared hedging alternatives including put options at various tenors. Computed cost-benefit analysis for different risk mitigation strategies over the relevant time horizon.

Stop-loss orders, while appearing cheaper in normal conditions, carry extreme tail risk during regime changes. Put options provide more reliable protection but at higher explicit cost. The appropriate hedge depends on the investor's assessment of regime change probability.

Analysis of the famous Metallgesellschaft near-bankruptcy of 1993. At the time one of Germany's largest commodity trading companies, the firm faced existential crisis due to margin calls on oil futures positions. The case illustrates how theoretically sound hedging strategies can fail catastrophically when liquidity constraints are ignored.

Developed an optimal hedging function h(t) using differential equations to model the tradeoff between hedge effectiveness and liquidity requirements. Analyzed basis risk between spot and futures positions. Compared continuous versus discrete hedging approximations and their practical implications.

Rolling hedge strategies create path-dependent liquidity exposure. Marking to market on futures generates margin calls that may force position liquidation at adverse prices. The optimal hedge ratio must incorporate the firm's liquidity constraints, not just the statistical hedge ratio.

Private expert opinion on the appropriateness of a product exchange. A bank had sold Product P1 in September 2007. By May 2008, P1 had lost 26.70% of its value. As a "goodwill gesture," the bank offered to exchange P1 for Product P2 at no charge. The question: was this exchange fair?

Built Monte Carlo simulation for 30-stock basket with reference value tracking. Compared discount factors, payoff thresholds, and barrier structures between products. Analyzed GICS sustainability scores for the underlying baskets. Computed fair values under realistic market assumptions.

The Monte Carlo simulation yielded a stable fair value of 40.04 for Product P2, significantly lower than P1's exchange value. The bank's representation that the exchange was a goodwill concession did not hold under quantitative analysis. The exchange transferred additional value from investor to bank.

Engaged by a fund data provider specializing in sustainability metrics. The objective: extend Markowitz portfolio selection theory to incorporate minimum sustainability requirements while preserving efficient frontier properties.

Introduced sustainability parameter for each asset. Formulated constrained optimization requiring minimum portfolio-weighted sustainability. Analyzed effects on short-selling (the model favors shorting non-sustainable assets) and Sharpe ratio degradation. Developed investor preference parameter for sustainability-return tradeoff.

Under reasonably normal market conditions, requiring minimum sustainability parameter values affects the portfolio Sharpe ratio only marginally. Sustainable portfolios incur a barely significant loss of quality in terms of risk-return ratio. The model provides a rigorous framework for institutional ESG mandates.