JP Morgan And State Street Unveil VAR Application For Pension Funds
NEW YORK--JP Morgan and State Street Bank & Trust have teamed up to create a VAR application for pension plan portfolios. The system, dubbed VAR Calculator II, is based on core methodology from JP Morgan's RiskMetrics. It is designed to handle portfolios with a wide range of asset classes and longer maturity cycles than typical bank trading desks, say JP Morgan and State Street officials.
Laurette
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