State Street Uses Variance/Co-variance To Measure Securities Lending Risk


BOSTON--State Street Corp.'s global custody division will unveil a risk management tool for its securities lending operations. Called the SL PerformanceAnalyzer, the system performs value at risk calculations for the cash pension plans and other institutional investors receive as collateral and then reinvest. State Street plans to unveil the product at press briefings in New York and London the week of March 2.

The first version of the system uses a variance/co-variance method to calculate

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