Sample and Current Consulting and Research
Projects
Please find below a list of both "sample"
consulting/research projects and current
consulting/research projects. In addition to the general consulting, we also offer the
ARBLab Services
for holding period P&L/risk analysis.
Please keep in mind that these as all Consulting/Research
projects are fee based, though ART also provides "free"
research via our ARTicles.
Equity Index Upside Participating Options: a comprehensive
analysis of "protected" structures
for a medium size hedge fund with particular interest for application to
private client business. Request
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VaR Methods and Policies: a thorough and in-depth analyses of risk management systems and process
for a large well know international investment bank. The project
included model verification of pricing and risk measurement calculators,
as well as a comprehensive assessment of VaR methods and policies. 
Overview
Request
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Risk/return characteristics of highly structured CB
derivatives: analysis of both directional and arbitrage trading
implications for vanilla and complex CBs for a large European
bank. Request
More Information
Co-integration and VaR: review and analysis of co-integration as
applied to VaR for a large
international investment bank. Request
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Passport, Managed Funds, and Real Options: analysis of
theoretical and "real-world" consistent approaches to
assessing investment strategies, valuation and portfolio risk management
of Passport options, Options on Managed Fund, and Real options.
Overview
Request
More Information
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