News and Events

David K.A. Mordecai Served as a Technical Advisor to the Unsecured Creditor Committee in the Lehman Brothers Bankruptcy Proceedings

Valuation of Structured Notes in Lehman Bankruptcy

David K.A. Mordecai served as a technical advisor to the Unsecured Creditor Committee (“UCC”) in the Lehman Brothers bankruptcy proceedings. In this capacity, his role involved technical oversight and peer review for a valuation team conducting independent analysis on behalf of the UCC with regard to an extensive portfolio of structured notes with complex payoffs referencing equity, credit, interest rates, and currencies. The valuation of this exotic structured note portfolio, with a notional amount outstanding in excess of $15 Billion, involved Monte Carlo simulation as well as econometric analysis of historical market data in conjunction with market-implied forward prices.

Dr. Mordecai worked on this engagement with a team from FTI Consulting, which included Scott Friedland, Michael Kwak and Tristram Worth, among others.

David K.A. Mordecai is President and co-founder of Risk Economics, Inc, a New York City based advisory firm. The RiskEcon® litigation advisory practice provides advisory services and testimonial expertise on complex issues related to financial instrument valuation models and frameworks, market and industry standards and practices for the financing, risk management, active trading, and hedging of OTC derivatives and structured products. Dr. Mordecai is Senior Advisor to, and a Member of the Advisory Committee of, Compass Lexecon.

As lead for the Risk Economics litigation and arbitration advisory practice, David serves as an expert on loss causation and economic damages related to market structure, financial institutions governance, and complex issues related to finance, economics and market standards and practices within securities, derivatives, reinsurance, and commodities markets, as well as market structure within a broad range of non-financial industry sectors. His expertise includes financial engineering, the valuation of fixed income securities and structured products, including over-the-counter derivatives (in particular fixed income and credit derivatives), complex insurance and reinsurance liabilities, as well as asset liability and risk management models and practices. Having testified extensively at deposition, trial, arbitration and international arbitration, he has been admitted as an expert in federal, state and county courts, and cited favorably in court decisions.

See Compass Lexecon 2011 Annual Newsletter

March 31st, 2012, New York, NY

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