Management

RiskMetrics —Technical Document

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This is the reference document for RiskMetrics. It covers all aspects of RiskMetrics and super- sedes all previous editions of the Technical Document. It is meant to serve as a reference to the methodology of statistical estimation of market risk, as well as detailed documentation of the ana- lytics that generate the data sets that are published daily on our Internet Web sites.
This document reviews
1. The conceptual framework underlying the methodologies for estimating market risks.
2. The statistics of financial market returns.
3. How to model financial instrument exposures to a variety of market risk factors.
4. The data sets of statistical measures that we estimate and distribute daily over the Internet and shortly, the Reuters Web.
Measurement and management of market risks continues to be as much a craft as it is a science. It has evolved rapidly over the last 15 years and has continued to evolve since we launched RiskMetrics in October 1994. Dozens of professionals at J.P. Morgan have contributed to the development of this market risk management technology and the latest document contains entries or contributions from a significant number of our market risk professionals.
We have received numerous constructive comments and criticisms from professionals at Central Banks and regulatory bodies in many countries, from our competitors at other financial institu- tions, from a large number specialists in academia and last, but not least, from our clients. Without their feedback, help, and encouragement to pursue our strategy of open disclosure of methodology and free access to data, we would not have been as successful in advancing this technology as much as we have over the last two years.

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Publisher

: ., 1996

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Language

English

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NONE

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Edition

Fourth Edition

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Statement of Responsibility

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