Yamaichi London Switches To Var For Interest Rate Risk Management


YAMAICHI Bank UK, the London-based subsidiary of Japan's Yamaichi Securities, has implemented a VAR-based methodology for managing the market risks on its portfolio of interest rate instruments.

The decision to switch from a futures-equivalent methodology to VAR was prompted by the recent expansion of Yamaichi's long term swaps trading, according to bank officials.

As part of its market risk management revamp, Yamaichi has gone live with a risk reporting system that delivers real-time risk

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