Risk ALM USA 2005: Panel discusses differing approaches to ALM

Matz said that irrespective of whether or not a fat-tailed VAR-type approach is used, models do not typically include contingency risk, or economic shocks. Panel members expressed mixed views on the value and use of VAR; George Collins, Director of Market Risk Management at the Federal Home Loan Bank of Boston said his firm uses VAR as a primary tool rather than other more highly- quantitative risk models, for reasons of ease-of-use.

Panelists and audience members alike had varied

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: