Position/Role: Adjunct Staff / Division Director, Risk Management Group, Macquarie Bank

Schools/Unit: School of Actuarial Studies

Qualifications:

• PhD - Applied Mathematics - University of Cambridge
• MSc - Mathematics - University of New South Wales
• BSc (Hons) - Mathematics, Physics, Economics, Computing - University of New South Wales

Contact Details:

Risk Management Group
Macquarie Bank
1 Martin Place
Sydney, NSW 2000

Telephone: +61 2 8232 1855
Facsimile: +61 2 8232 4437
Email: m.e.johnston@unsw.edu.au

Background

Mark Johnston heads the Risk and Capital Analysis team at Macquarie Bank, with responsibility for estimating capital requirements, risk-adjusted performance measurement and risk-reward analysis of deals and new products and businesses. Mark's team also models Macquarie's major risk categories including equity risk, credit risk and business risk.

Prior to joining Macquarie Mark was a Director in the Risk and Value Advisory practice of PricewaterhouseCoopers in Sydney.  Before that Mark worked for Operations Research Group Pty Limited (acquired by PwC in October 1999), a management consulting firm specialising in the application of quantitative analysis to business decision problems. 

In 2004 Mark was appointed Adjunct Associate Professor in the School of Actuarial Studies and in the School of Mathematics at the University of New South Wales.

Mark has consulted to corporations in a variety of industry sectors - particularly in financial services, energy and mining, oil and gas and agribusiness, but he has also worked in the food processing, industrial manufacturing (especially Steel), medical products, television, retail, rail, and airline sectors.

Mark has lectured on capital investment analysis and real options at the Securities Institute of Australia, The Australian Graduate School of Management, Melbourne Business School, and at various national and international conferences. He has developed and delivered various training courses in capital investment analysis, risk analysis, real options and optimisation.

Mark has a wide range of experience in financial risk and corporate finance consulting, and in the application of quantitative analysis to business decisions. His experience includes:

• Value and risk analysis of major capital project investments
• Strategic analysis of acquisition/divestment decisions
• Facilitation of project risk and strategy workshops
• Capital budgeting, project prioritisation and portfolio optimisation
• Capital structure optimisation
• Determining economic capital requirements
• Value at Risk and Cash Flow at Risk analysis
• Valuation of options and other derivative securities
• Development of methodologies and models for Technology and R&D project evaluation
• Time series modelling: commodity prices, retail prices, exchange rates
• Supply chain strategy: network optimisation, inventory analysis
• Optimal scheduling: rail, staff, processing machinery, mining
• Decision support systems design and implementation

Research Interests

• Application of economic valuation methods in insurance pricing
• Capital requirements, capital structure and economic capital allocation
• Application of stochastic valuation methods to corporate finance problems
• Risk analysis and valuation of structured credit products.