JP Morgan And State Street Unveil VAR Application For Pension Funds

NEW YORK--JP Morgan and State Street Bank & Trust have teamed up to create a VAR application for pension plan portfolios. The system, dubbed VAR Calculator II, is based on core methodology from JP Morgan's RiskMetrics. It is designed to handle portfolios with a wide range of asset classes and longer maturity cycles than typical bank trading desks, say JP Morgan and State Street officials.

Laurette Bryan, senior vice president at State Street responsible for the bank's State Street Analytics

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