First Union Validates Its Risk Models And Tests Rival VAR Methodologies

FIRST Union National Bank of North Carolina is revamping its risk management operations to cope with the rapid expansion of its capital markets division.

The bank plans to add new derivatives to its books and is validating its risk models to minimize potential reconciliation errors between front and middle office pricing algorithms.

First Union also plans to test a variety of value-at-risk methodologies. These VAR systems will be based on the bank's new risk management architecture, which is built