A local approach to risk management in Asia – Allen Kuo profile

Local knowledge


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

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