MIT Tests Rival Value-At-Risk Systems To Examine Underlying Assumptions
THE Massachusetts Institute of Technology's International Financial Services Research Center is funding a comparative study of the value-at-risk (VAR) methodologies that risk management systems vendors are incorporating into their products.
The study is being conducted by researchers at MIT and the Harvard Business School, and is supported by a consortium of sponsoring organisations, including Coopers & Lybrand, Salomon Brothers, Citibank, Bankers Trust and JP Morgan.
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