Bankers Outlines Methodology For Operational Risk
NEW YORK--Bankers Trust has reported an average daily VAR for 1997 of $50 million across all of the bank's portfolios, compared with $39 million for 1996. The report also details Bankers' methodologies for estimating operational risk, which have now been running live for two years. A proprietary model estimates potential operational losses across Bankers' global business lines, say bank officials. These figures are used as a factor in the bank's capital allocation strategy.
According to the
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