NEW YORK--JP Morgan and State Street Bank & Trust have teamed up to create a value-at-risk application for pension plan portfolios. The system, dubbed VAR Calculator II, is based on core methodology from JP Morgan's RiskMetrics risk management system. It is designed to handle portfolios with a wider range of asset classes and longer maturities than typical bank trading desks, say JP Morgan and State Street officials.
Laurette Bryan, senior vice president at State Street responsible for the ba
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