Option Portfolio Strategy Excel Tools

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					Gregory Vainberg

Gregory Vainberg is an Associate Principle in the Montreal office of McKinsey &
Company and a leader in the Institutional Investor and Risk practices. He has
worked with clients across a range of industries including institutional investing,
banking, basic materials, and energy.

Examples of recent engagement experience include:

¶ Developed stress testing capabilities for a large Canadian institutional
  investor
  Created consensus between the management team on the appropriate historical
  and hypothetical stress test scenarios to be run to augment current VaR
  methodologies. Helped run the stress test scenarios by using a combination of
  the fund’s internal valuation engine and custom made tools to capture risks /
  products not covered by current systems.
¶ Portfolio rebalancing strategy for a large Pension fund
  Defined the portfolio’s target risk-return profile and created the framework,
  tools and analysis to determine the optimal rebalancing strategy to reach the
  target profile.
¶ A mega-capital nuclear power plant procurement
  Led the development of the selection criteria and evaluation model for the
  identification of the preferred vendor. Definition of the final contract including
  the pricing methodology, the detailed project’s scope and owner-vendor risk
  sharing terms.
¶ Two enterprise risk-management studies for a leading Canadian bank
  Reorganization of the bank’s risk management organization with a focus on
  aligning risk-return incentives. Developing the long-term plan for the rebuild of
  the bank’s credit models.
¶ Due diligence of a large aluminum smelter acquisition
  Forecasting aluminum rolled product cost curves in different demand centers,
  for a subset of products, over a 10-year period. With a focus on Chinese and
  South American threat of expanding production. Factoring in currency, energy,
  labor and transportation costs.
¶ New project valuation methodology review for large diversified mining
  company
  Created a workshop focused on advance valuation techniques such as modeling
  stochastic prices, valuing real-options and the application of modern asset
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      pricing. Piloted the valuation of 2 major projects based on agreed upon
      methodologies.

    Greg has a PhD degree in finance from McGill University, and Bachelor’s degree
    in computer engineering also from McGill University
    Before joining McKinsey Greg has had a variety of development roles in firms such
    as Global Wood, Motorola and Summit-Tech Media Networks. He has also
    published a book on Option Pricing Models and Volatility in Excel-VBA with
    Wiley and Sons publishing.


    February 2010




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