Chase Manhattan Deploys Historical Simulation VAR
CHASE Manhattan Bank has gone live with a new internal value-at-risk system based on historical simulation methods.
The bank also has started offering the third generation of its Charisma risk management service to its institutional clients. Charisma is a scaled down version of Chase's internal risk system, say bank officials.
Chase is pushing Charisma as an alternative to JP Morgan's Riskmetrics. Bank officials say Riskmetrics' parametric methodology makes it unsuitable for many corporates.
The
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