ThereÆs an element of crystal-ball gazing in any risk management exercise. The more complex your portfolio, the cloudier things become. Pension plan sponsors, who need to consistently monitor the impact of risks on plan assets, liabilities and surplus, require particularly good vision. Fortunately, there are increasingly sophisticated tools on the market to aid their task. RiskMetrics, for example, recently unveiled PensionManager 1.0, which incorporates Value at Risk VaR research methodologies, developed in association with JP Morgan.
VaR is an increasingly popular statistical measure of risk exposure that was developed in the late 1980s for the trading desks of large financial institutions. In contrast to many measures of risk, such...
