Merrill Lynch Deploys Back Testing For VAR Validation

MERRILL Lynch International Bank, the New York-based subsidiary of Merrill Lynch & Company, is re-engineering its market risk management process to comply with new US regulations that went into effect at the start of this year.

The Federal Reserve Bank of New York is requiring securities houses to check the accuracy of their VAR models by back-testing -- comparing expected maximum losses with those actually incurred.

Rajan Gadkari, director of risk management at Merrill Lynch International Bank

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 or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a 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