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An Integrated Approach to Managing Risk and Performance By Thomas S. Y. Ho, Ph.D. Executive Vice President BARRA, Inc. Marco Stalder, Ph.D. Head of Treasury Zürcher Kantonalbank and Bernhard Straub Deputy Head of Treasury Zürcher Kantonalbank Abstract This paper provides an integrated and practical approach to managing risk and performance of a bank on an enterprise level. The results show how analytics can be used along with a strategic management organization to formulate a coherent framework to deal with some of the challenges of our current banking environment. June 1998 The authors wish to acknowledge Ron Kahn, Ruedi Wettstein-Gloor, Mark Abbott, and Mitch Talisman for their assistance on this project and Toni Laich for her editorial and administrative support. R:\usr\tom\risksytem.doc r:/usr/tom/working papers/risksytem.doc 1 An Integrated Approach to Managing Risk and Performance Overview Managing interest rate risk and maintaining a profitable balance sheet is perhaps one of the most important challenges for banks in today’s competitive environment. Recently, we have seen that the integration of global markets, specifically the European markets, has led to higher market volatility and increased competition, with a greater demand from customers and more competitive products on the market. Further, regulators and rating agencies contin