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Innovative and implementable solutions to complex financial problems, provided by distinguished Wall Street Scholars, experienced practitioners and expert in-house developers

About Wall Street Scholars
Wall Street Scholars is a consulting, research and publishing organization, whose scholars are renowned for their expertise in applied finance and economics. Our distinguished panel of scholars and practitioners offers tailored solutions for complex financial problems, ranging from strategic planning to regulatory compliance. Wall Street Scholars provides a comprehensive array of services including consulting, research coaching, seminars, sponsored research initiatives, and educational programs, all aimed at advancing financial knowledge and empowering professionals with innovative solutions and insights.

Wall Street Scholars

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David Shimko

Valuation, Structuring and Risk Management, Commodity Markets

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Rama Cont

Risk Management, Central Clearing, Model Validation, AI Applications

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Raphael Douady

Risk Modeling, Trading Strategies, AI Applications, Wealth Management

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Robert Benhenni

High-Yield & Distressed Debt Markets, Valuation, Risk and Investment Management

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Nadia Babaei

Model Validations, AI, Financial Products

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Brett Friedman

Financial market trading strategies

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Stephen Figlewski

Derivatives and Financial Instruments

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Frederic Siboulet

Financial Executive

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Amine Aboussalah

Financial Technology and Machine Learning

Services

We set the gold standard in financial consulting. At Wall Street Scholars; our mission is to enable you and your organization to thrive in the competitive world of finance

Wall Street Scholars provides rigorous and supportable independent valuations for complex contracts, such as exotic derivatives, insurance contracts, guarantees, new products, structured products, corporate capital structure, distressed debt and hedging transactions. Our valuations are used to validate internal estimates, perform outsider due diligence assessments for prospective investors and provide expert valuation opinions for litigation purposes when necessary. We also provide full implementation services for model validation solutions.

Leverage the power of generative AI and advanced algorithmic software to optimize your trading strategies and operations. We specialize in creating cutting-edge solutions for exchanges and hedge funds, enhancing decision-making processes and maximizing returns through innovative technology.

Expand your validation staff using our Wall Street scholars, or create a fully independent model validation team for specific projects. We provide a full range of services from minimal compliance requirements to state-of-the-art evaluations using advanced and proprietary analytic tools including machine learning algorithms. We meticulously review and assess models to ensure compliance with regulatory standards, mitigate risks, and enhance performance. We produce model validation reports for regulators, due diligence independent model reports for investors, and reports for internal use, according to client needs.

We build comprehensive risk analytics for individual contracts and assets as well as portfolios. This often requires advanced and subtle market modeling, including dynamic interactions. Our scholars also provide broad experience in credit and credit risk modeling, operational risk modeling, liquidity reporting, risk model validations, regulatory risk measures, and advanced risk-based performance analytics. We deliver according to client needs, from white papers to fully integrated solutions.

Embrace the future of financial advisory with our advanced robo-advisory development services. We design and implement sophisticated robo-advisors that utilize cutting-edge algorithms and AI to provide personalized investment advice, automate portfolio management, and enhance client engagement.

Experience the prowess of our skilled team, dedicated to developing cutting-edge financial platforms that empower businesses to thrive in the digital landscape. Count on our proficient team to craft robust financial platforms tailored to your needs.

Projects

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Governmental export credit institution
David Shimko
Built a portfolio model for valuation and risk assessments of government trade finance guarantees, and implemented a portfolio tracking and reporting system.
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Risk Manager, Senior Consultant
Rama Cont
CME Group, the world's leading derivatives marketplace comprising four exchanges, approached Prof. Rama Cont for his expertise in risk management and margin design. As a highly respected quant, Prof. Cont successfully addressed and resolved the significant challenges they were facing with risk assessments, stress testing, and margin design, enhancing the overall robustness and reliability of their financial models.
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Fixed income brokerage firm
Raphael Douady
Converting a fixed income brokerage firm's processes from LIBOR to SOFR
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U.S. Credit Asset Manager
Robert Benhenni
Created the first-ever Middle-Market company performance index based on data of private middle market companies of a Loan portfolio generated by Direct Lending activities, providing early investment insights into major stock indexes: S&P 500, S&P SmallCap 600 and Russell 2000, that the media (WSJ, CNBC) have discussed
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Major integrated Latin American petroleum company
David Shimko
Built an enterprise-wide risk management function including a portfolio approach to the business. Following management signoff, developed an analytics package to quantify these risks.
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Quantitative Analyst (Quant)
Rama Cont
Rama Cont, as an expert in quantitative finance and risk management, has been invited to work on various model validation projects for major banks across the US, UK, and EU. He conducted rigorous reviews and testing of financial models, ensuring their accuracy, robustness, and compliance with regulatory standards.
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Citi Bank
Raphael Douady
developed a comprehensive Cross Product Margining system for our Prime Brokerage practice
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Capital Structure Valuation
Robert Benhenni
Developed a new capital structure valuation model based on balance sheet simulation valuing senior/junior/secured debt and CDS, for the use in investment strategies such as capital structure arbitrage and event-driven strategies, as well as optimal firm recapitalization.
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European refinery
David Shimko
Established a multi-tier trading risk policy and limit-based risk control system for European petroleum products.. Built management consensus around the recommendations. Supported management’s bid to obtain funding from a bank syndicate based on adopting the risk management policy.
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Senior Consultant
Rama Cont
Professor Rama Cont has been invited by the Hong Kong Exchange to serve as a risk manager and lead efforts in stress testing and enhancing the exchange's models. His responsibilities include conducting comprehensive stress tests to evaluate the resilience of financial models under extreme market conditions, identifying potential vulnerabilities, and redesigning the margin framework to ensure optimal risk mitigation.
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Hedge Funds
Raphael Douady
Developed a portfolio risk management system based on a polymodel framework
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Morgan Stanley
Robert Benhenni
Built unique corporate default econometric prediction models for both non-financial firms and financial firms covering the full U.S. market which provided high default prediction accuracy and forecasts of CDS price dynamics.
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Mexican power marketer
David Shimko
Built a trading framework and complete pricing/risk models for trading gas and power derivatives in Mexico, including hedging strategies with Southeastern US power markets. Project was canceled post-completion following Obrador’s election.
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Fixed Income
Raphael Douady
Implemented a fully automated systematic trading strategy for fixed-income arbitrage.
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ABN AMRO
Robert Benhenni
Determined the proper VaR methodology for a bank’s Futures business to provide a risk-based margin financing for select clients based on the difference between CME SPAN and VaR by performing comparative analysis between SPAN and VaR across products
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Wall Street bank energy credit portfolio
David Shimko
Built a private debt pricing model for energy companies using market inputs rather than credit ratings. This allowed dynamic revaluations and hedging opportunities for a non-traded loan book.
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Natixis
Robert Benhenni
Actively developed the CLO/CBO business: an instigator of the investment strategy to identify CLOs/CBOs relative value trades by quantifying the risk / return profiles of these products
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Enron bankruptcy
David Shimko
Advised dozens of clients on the valuation of Enron trades for negotiation and settlement purposes. Provided expert witness testimony in over 20 cases.
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Natixis Group (CIMCO Hedge Fund)
Robert Benhenni
Managed (as a portfolio manager) and created the systematic investment strategy for a $125 mm US High Yield credit fund which outperformed its benchmark
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FCStone
David Shimko
Board-level advisory on risk management strategy in the wake of a trading disaster. This lead to the largest derivatives transaction in gas ever experienced on the Chicago Mercantile Exchange up until that time. Euromoney awarded David Shimko and Brett Friedman the designation of “Energy Deal of the Year” for arranging the transaction.
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North America and European Credit Asset Management firms
Robert Benhenni
Created a quantitative credit investment strategy incorporating market and fundamental factors investing in US and European High Yield corporate bonds, achieving a strong back-tested performance, ranking in the top quartile among its peers and with no defaults over extended periods
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Australian bank
David Shimko
Advised bank on structuring and execution of a tax-related arbitrage structure. This included building pricing and risk models for the transaction.
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US-based Hedge Fund
Robert Benhenni
Managed and created a quantitative investment strategy in grain and soft commodity futures, as a portfolio manager. The strategy achieved a stellar performance, outperforming most of its peers
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Canadian commodity exchange
David Shimko
Developed Span-style risk system for startup exchange using innovative price risk assessment techniques.
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ABN AMRO
Robert Benhenni
Developed a new business by arguing its economics with senior management and by building a simulation model to determine the risk/return profile of a structured loan to an SPV for the purchase of deferred annuity contracts
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U.K insurance company
David Shimko
Developed complete risk management policy for the insurance company requiring unanimous approval from all department heads.
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ABN AMRO
Robert Benhenni
Provided the quantitative/qualitative analysis of a critical Single-Tranche Synthetic CDO, addressed sensitive issues involving the rating agency and the CDO issuer, and brought the project to completion working with the Risk Management department and the Business Unit
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Fintech lenders
David Shimko
Developed regulatory model validations for over 30 fintech lenders, involving critical model reviews and implementation recommendations.
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ABN AMRO
Robert Benhenni
Built risk methodologies for Distressed Debt
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Venture capital firm
David Shimko
Developed and implemented a complex risk model for receivables from insurance settlements. The model was built to structure securitizations, and to supply real-time updates in valuation and risk reports by tranches.
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JP Morgan
Robert Benhenni
Developed and implemented new types of American and Barrier options models for pricing and hedging commodity and equity derivatives
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U.S. insurer – Variable annuities
David Shimko
Reviewed and recommended overhaul of insurance risk management function for dynamic hedging of market risks in insurance products (e.g. GMDB).
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JP Morgan
Robert Benhenni
Developed and implemented an average rate option model for equity and interest rate caps correcting for skewness and kurtosis, incorporating term structure of volatilities, interest rates, dividends and costs of carry
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CME Group
Robert Benhenni
Statistical Analysis of Financial Markets Dynamics: Provided advisory services to the CME Economics Department on time-varying parameter (TVP) statistical methods based on economic risk factors that impact the forecasting of market price evolution, volatility, and potential use of futures and options products
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Research

Latest from our Scholars

Explore our diverse and engaging blog section, where we delve into topics ranging from industry insights to expert tips, providing a rich source of information and perspectives to inspire and inform our readers.

The structure of the derivatives industry

The structure of the derivatives industry
Author: Robert Benhenni

As major shifts are occurring in the derivatives industry, the economic framework developed in this article shows that those financial institutions that can develop the necessary structure to provide integrated solutions through its many business lines will have a competitive advantage.

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