Chase Stresses Qualitative Risk Modelling
NEW YORK--Chase Manhattan Bank is redesigning its risk management models to bring them closer in line with the bank's asset/liability management function. Steven Lerit, Chase's vice president of corporate treasury, says the bank is moving towards risk methodologies that "rely more on art than on science". The recent run of financial crises have underlined the hidden assumptions lurking behind rigid quantitative risk modelling techniques such as VAR, he adds.
Lerit outlined Chase's evolving
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