TCV market risk system upgrade prepares for credit risk and Basel II
Treasury Corporation of Victoria (TCV), the central financing authority of the State of Victoria in Australia, has implemented a system to improve its market risk management, which it plans to extend to cover credit risk and that should help it meet regulatory requirements, including Basel II.
TCV decided to go for an upgrade in 2002, and because its product range and risk methodologies are fairly standard, it decided to go for an off-the-shelf system.
Candidate systems had to offer, initially, an integration platform with a market risk engine, with the potential to extend
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