Bank One Adopts Models for OTC Contracts
CHICAGO --Portfolio managers in the New York office of Chicago, Ill.-based Bank One are reducing the model and liquidity risks inherent in evaluating the relative values of secondary securitization transactions by implementing vendor option pricing models that price the over-the-counter (OTC) contracts in a more accurate and timely manner. The portfolio managers utilize the pricing models to spot mispriced derivative instruments on the market, which they buy and then sell in the secondary market
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