Bank One Corp., Home Savings of America, and a number of other banks and thrifts are participating as beta test sites for Treasury Services Corp.'s new riskmanagement system.
The system, called Option Adjusted Valuation, is the latest version of the Treasury Services Evaluation and Reporting software, which is used by over 60 institutions.
Developed with Kamakura Corp., of Chigasaki, Japan, the system allows financial analysts to value fixed- and adjustable-rate securities and securities options using stateof-the-art methods, officials said.
"The traditional way of valuing was the Monte Carlo simulation," said David Crandon. director of client services for the Santa Monica, Calif.-based software vendor. "It used lots of simulations with specifications you created to guide your module's tests ." Steven Chenenko, assistant vice president with Columbus, Ohio-based Bank One, said the new system used a fairly new technique for determining the value of options that have been written to bank borrowers."
"It's a better, more integrated approach to calculating, particularly market value for our loans and deposits," Mr. Chenenko said.
"We think it will integrate nicely with the existing data we have on our loans and deposit application systems," he added. Bank One values between 10 and 20 securities options a month; Mr. Chenenko said he'd like to see between three and seven loans valued on the new system at one time. The software runs in Windows on a client-server network.
Other banks serving as test sites are Fidelity Federal Bank of Glendale. Calif.. Dime Savings Bank of New York. and the Federal Home Loan Bank of San Francisco. The test will end in October.