Headshot

Dr. Robert Mackay

Affiliated Consultant

Contact

Washington, DC
Tel: +1 202 466 9291
Fax: +1 202 466 3605

Email: robert.mackay.affiliate@nera.com

Education

PhD in economics, University of North Carolina, Chapel Hill
BS in economics, University of South Florida

Experience

Dr. Mackay specializes in providing securities and financial markets litigation support and risk management advisory services. His primary interests are in the areas of financial risk management, including derivatives and derivative securities, and the regulation of financial markets. Dr. Mackay first joined NERA in 1998.

In 1999, Dr. Mackay became a senior member of a working group set up by Marsh & McLennan Companies, NERA's parent company, to establish a new operating unit to deliver enterprise risk management consulting and transactional services to major corporate and financial institution clients. In 2000, he joined this new unit, MMC Enterprise Risk, as the Managing Director responsible for working with clients to identify and quantify their critical risks in order to develop enhanced risk solutions -- either organizational or transactional. He was also responsible for directing and overseeing the unit’s financial institution consulting practice, which focused on hedge fund advisory work and operational risk consulting.

Since returning to NERA in 2001, Dr. Mackay has continued his litigation support work and has helped to lead NERA's Financial Risk Management Practice. In 2002, for example, he co-led a team for MMC that benchmarked the operational risk management practices and trends for the top financial institutions worldwide. The results of this study were presented to global regulators, including the Basel Committee's Risk Management Group, and customized benchmarks were prepared and presented to participating institutions. The results of the study were later updated to include best practices emerging at the time among top financial institutions. Dr. Mackay has also led teams developing enterprise-wide approaches to financial risk management for corporate clients, including integrated risk measurement and management for a broad range of financial risks.

Before joining NERA, Dr. Mackay was Professor of Finance and Director of the Center for Study of Futures and Options Markets at the College of Business at Virginia Polytechnic Institute and State University. He has also taught at the University of California at Berkeley, the University of Maryland, Tulane University, and the University of North Carolina at Chapel Hill.

In addition, Dr. Mackay served as Project Advisor to The Group of Thirty's Global Derivatives Study Group. In its seminal report, Derivatives: Practices and Principles, the Study Group recommended key risk management principles for derivatives dealers and end-users. Based on a follow-up survey, the Study Group found that its recommendations had become standard industry practice for dealers and also for many large end-users.

Dr. Mackay also served as Chief of Staff of the US Commodity Futures Trading Commission and as a member of the Senior Staff of the President's Working Group on Financial Markets, following the stock market crash of October 1987. In this role, he directed and coordinated the Commission's efforts to address jurisdictional and regulatory issues involving swaps and structured securities. He has also held positions at the US Federal Trade Commission, the Securities and Exchange Commission, and the Federal Reserve Board.

Dr. Mackay has been a consultant and expert witness in major litigation cases involving alleged manipulations of the US Treasury note market, the global copper markets, and futures markets for crude oil; alleged trade practice abuses (including frontrunning, misallocating, churning, and bucketing of trades); the appropriateness of the trading strategies of failed entities (including a savings and loan association, a life insurance company, a hedge fund, a major commodities dealer, and a local government); proper sales practices for structured notes and swap transactions; the consistency of investment strategies with offering circulars; the economics of market making in stock options; the forced liquidation of securities and derivatives positions; the tax treatment of hedging and market-making transactions; the valuation and collateralization of long-term energy contracts; and, the economic nature of various forward contracts (including Brent crude oil contracts, long-run petroleum supply contracts, and grain forwards). He has given expert testimony or depositions in cases before the US Tax Court, US district courts and state courts, the Securities and Exchange Commission, the Commodity Futures Trading Commission, the International Trade Commission, the High Court of New Zealand, and in numerous arbitration and mediation proceedings. His arbitration experience includes testimony before the American Arbitration Association, the NASD, FINRA, the National Futures Association, and the American Stock Exchange.

Dr. Mackay has published extensively in leading economics journals such as The Quarterly Journal of Economics, The American Economic Review, and Econometrica, as well as in specialized finance journals, including The Journal of Applied Corporate Finance, Journal of Financial Services Research, and The Journal of Financial Engineering. He also edited After the Crash: Linkages Between Stocks and Futures and special issues of The Journal of Financial Engineering devoted to regulatory reform in the futures industry, derivatives, and systemic risk. He has presented numerous lectures, seminars, and training programs on derivatives and financial risk management.

Title Type Author
De-Mystifying Interconnectedness: Assessing 'Too Interconnected to Fail' and the Fall... Report By Dr. Sharon Brown-Hruska, Dr. Robert Mackay, and Dr. John Bovenzi of Oliver Wyman Group, et al.
Why 'Too Big to Fail' is Too Short-Sighted to Succeed: Problems with Reliance on Firm... Report By Dr. Sharon Brown-Hruska, Dr. Robert Mackay, and Dr. John Bovenzi of Oliver Wyman Group, et al.
Assessing Value at Risk for Equity Portfolios: Implementing Alternative Techniques Published Article By Drs. James Jordan and Robert Mackay