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
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
¶ 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
¶ 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
Created a workshop focused on advance valuation techniques such as modeling
stochastic prices, valuing real-options and the application of modern asset
pricing. Piloted the valuation of 2 major projects based on agreed upon
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.