Providing risk management and quantitative research to institutional asset managers , pension funds, and family officesMy new website is glprisk.comIdentifying appropriate risk models,Calculating risk statisticsEconometric analysis of portfoliosAnalysis of growth and value portfoliosProvide stress testing for options and derivative portfolios

Built and managed an investment risk team responsible for $50B in assets under management and over 100 investment products.Member of a three person investment committee responsible for firm wide investment decisions.Thought leader in transforming a traditional equity firm into a risk aware firm.Co-developed the first company wide portfolio information system Designed and developed a risk information system, which produced 1800 charts/tables/graphs daily, saving the company $3M.Member of a four person team that developed the first global performance and risk system for the entire Allianz Asset Management Group compromising $800B under management.Developed Factset screens and back tests for U.S. and international equity products.Developed and built Matlab computer code to analyze the daily risk in hedge funds.Used quality control techniques to assess portfolio performance.Created econometric models for assessing daily risk in portfolios.Designed an equity risk system based on Sungard’s APT system, which included value at risk and stress tests.Developed an expert system to identify problem portfolios.Taught risk classes at Allianz Global Development Program at IMD in Lausanne Switzerland.

Member of the research and development group, which created new products for the company. Led an international consulting team working with Japanese clients. With Salomon Brothers created a new family of global equity indexes.Managed and closed a consulting assignment for a Japanese client, which resulted in several million dollars of new business.Created and managed a team to test a multi-currency fixed income software product delivered to a Japanese client.Used innovative statistical techniques to show the client that the fixed income system worked accurately.Editor and publisher of the Russell Research Commentaries with subsequent publication in a wide range of academic journals.With Salomon Brothers, co-developed the Salomon Russell Global Equity Indexes (now the S&P Dow Jones Indexes).Developed client strategies prompting investment of several hundred million dollars in currency hedging and in emerging markets.Estimated optimal rebalancing strategies for a large pension fund using genetic algorithms. This resulted in the client saving tens of millions of dollars.Developed quantitative algorithms to classify international equity managers by style.