Risk Management

The Brattle Group has extensive capabilities in financial risk management and our economic consulting experience includes work in derivatives, capital markets, and corporate finance as well as the complementary disciplines of statistics, computation, optimization, and competitive analysis. We analyze and forecast volatility; evaluate and develop programs to manage portfolio risk; value complex contracts; and price structured financial products.

We apply our financial economic consulting principles and methods to a variety of corporate management problems. These include capital budgeting, long-term resource planning, and valuation of real assets with embedded options. Our expertise includes litigation support and regulatory policy as well as management consulting. Examples of our work include:

  • We advised legal counsel in a dispute between financial services companies where commodity derivatives were used in a complex series of financial transactions to provide off-balance sheet financing.
  • We developed a methodology for allocating capital to lines of business in multi-line insurance companies, which is essential for competitive pricing of insurance products. This methodology was described in an award-winning paper published in the Journal of Risk and Insurance.
  • We applied principles of option pricing to assess railroad revenue adequacy in a proceeding before the U.S. Surface Transportation Board.
  • Several principals analyzed key issues of business purpose and profit potential in a series of tax matters where derivatives played a central role.

Risk-Adjusted Damages Calculation in Breach of Contract Disputes: A Case Study
Frank C. Graves, Bin Zhou, Melvin Brosterman, and Quinlan Murphy
Published in Journal of Business Valuation and Economic Loss Analysis