IntesaBci installs new internal market risk model
IntesaBci, which was formed through the merger of Banca Intesa and Banca Commerciale Italiana in May this year, is to use Toronto-based risk management software provider Algorithmics to underline a new internal market risk model.
The bank recently received approval from the Bank of Italy to use a variety of value-at-risk models, including parametric methods and Monte Carlo simulations for non-linear portfolios. This is the first time that an Italian bank has had an internal model
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