Merrill Lynch Deploys Back Testing For VAR Validation
MERRILL Lynch International Bank, the New York-based subsidiary of Merrill Lynch & Company, is re-engineering its market risk management process to comply with new US regulations that went into effect at the start of this year.
The Federal Reserve Bank of New York is requiring securities houses to check the accuracy of their VAR models by back-testing -- comparing expected maximum losses with those actually incurred.
Rajan Gadkari, director of risk management at Merrill Lynch International Bank
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