Risk ALM USA 2005: Panel discusses differing approaches to ALM

- Jayne Jung
- 19 Sep 2005

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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 experiences of

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