Risk management: One institution experience

Risk management: One institution experience

A commentary discusses the risk management experiences of Chase Manhattan Corp. To calculate its exposure to market risk, the bank uses both a value-at-risk system and a stress-test system. These systems apply to both the mark-to-market portfolio and the accrual portfolio. Ways Chase manages credit...

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Veröffentlicht in:Economic Policy Review - Federal Reserve Bank of New York 1998-10, Vol.4 (3), p.237
1. Verfasser: Labrecque, Thomas G
Format: Artikel
Sprache:eng
Schlagworte:
Bank management
Banks
Capital requirements
Credit policy
Credit risk
Portfolio management
Regulation
Risk assessment
Risk management
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Zusammenfassung:A commentary discusses the risk management experiences of Chase Manhattan Corp. To calculate its exposure to market risk, the bank uses both a value-at-risk system and a stress-test system. These systems apply to both the mark-to-market portfolio and the accrual portfolio. Ways Chase manages credit risk include: 1. looking carefully at portfolio concentrations, 2. applying stress testing to its credit portfolio, and 3. reviewing its customers on a real-time basis.
ISSN:1932-0426
1932-0604