Mainstream risk metrics don’t always work in Asia, according to Allen Kuo, chief risk officer at Hong Kong-based ING Investment Management Asia Pacific. Take value-at-risk, a mainstay of global bank and insurer balance sheets – but it runs into problems when assessing the exposure of local denominated debt portfolios.
“We can run VAR models with reasonable back-test results for our hard currency Asian debt and local currency government debt portfolios. But we have yet to get VAR back-test results
The week on Risk.net, July 7-13, 2018Receive this by email