Software calculates present risks

Pensions & Investments, July, 1998 by Hemmerick, Steve

Steve Hemmerick NEW YORK - Some pension funds may have jumped a significant hurdle in solving the problem of timely risk measurement across asset classes. At the urging of several large pension plans, BARRA Inc., Berkeley, Calif., is melding its risk models with software that collects securities data at high speed worldwide.

The uniting of models and data-capture software could be a forerunner of a risk measurement approach that will be used widely. Pension funds have found that getting data needed to evaluate present-day risks based on their actual securities is challenging. To measure risks for a large total plan, officials have to collect data from dozens of managers, several trust banks and derivative houses from computers all over the world. Each manager...

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