Financial engineering and research

I offer research and engineering services applied to finance.

Some of my past work is described below.

• Advice on product structuring for guaranteed-return funds.

• Evaluated investment strategies, used new risk measure that uses drawdown to provide a more realistic risk assessment than e.g. the Sharpe ratio.

• In the context of a series of fundamental reports on Polish stocks, published an article on confiscatory taxation in a high-inflation economy.

• Work on hedge fund indices, sectoral hedge fund indices and hedge fund selection tools.

• Monthly reporting for a hedge fund.

• Monthly reporting for a range of structured investment products issued by a large bank. These were typically products with a guaranteed return linked to stock or commodities baskets, or with triggers based on such baskets.

• Various commissioned research projects on U.S. stock market patterns and sectors.

• Regulatory reporting software.

I have worked on Basel II projects for a while in 2006. My view of the BII accord is summarized in the following Letter to the Editor, published in the FT.

No wonder risk professionals are living with a monster (.pdf)